Generalised kernel density estimator

Article

Novak, S. 1999. Generalised kernel density estimator. Theory of Probability and Its Applications. 44 (3), pp. 570-583. https://doi.org/10.1137/S0040585X97977781
TypeArticle
TitleGeneralised kernel density estimator
AuthorsNovak, S.
Abstract

We introduce a new class of nonparametric density estimators. It includes the classical kernel density estimator as well as the popular Abramson's estimator. We show that generalized estimators may perform much better than the classical one if the distribution has a heavy tail. The asymptotics of the mean squared error (MSE), optimal (in a sense) kernel, and smoothing parameter are found.

JournalTheory of Probability and Its Applications
ISSN0040-585X
Publication dates
Print18 Mar 1999
Publication process dates
Deposited12 Sep 2016
Accepted21 Sep 1999
Output statusPublished
Copyright Statement

Copyright © 2000 Society for Industrial and Applied Mathematics

Digital Object Identifier (DOI)https://doi.org/10.1137/S0040585X97977781
LanguageEnglish
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