ESTIMATES OF DERIVATIVES OF (LOG) DENSITIES AND RELATED OBJECTS

DOI10.1017/S0266466621000529MaRDI QIDQ6042897zbMATH OpenOpenAlexFDO

Authors Joris Pinkse

Publication date 4 May 2023

Published in Econometric Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2006.01328

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Abstract: We estimate the density and its derivatives using a local polynomial approximation to the logarithm of an unknown density $f$. The estimator is guaranteed to be nonnegative and achieves the same optimal rate of convergence in the interior as well as the boundary of the support of $f$. The estimator is therefore well-suited to applications in which nonnegative density estimates are required, such as in semiparametric maximum likelihood estimation. In addition, we show that our estimator compares favorably with other kernel-based methods, both in terms of asymptotic performance and computational ease. Simulation results confirm that our method can perform similarly in finite samples to these alternative methods when they are used with optimal inputs, i.e. an Epanechnikov kernel and optimally chosen bandwidth sequence. Further simulation evidence demonstrates that, if the researcher modifies the inputs and chooses a larger bandwidth, our approach can even improve upon these optimized alternatives, asymptotically. We provide code in several languages.

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Cited in

(1)

• Differentiated logdensity approximants

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