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Using non-stochastic terms to advantage in kernel-based estimation of integrated squared density derivatives

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Author Info
Jones, M. C.
Sheather, S. J.
Abstract

Improved kernel-based estimates of integrated squared density derivatives are obtained by reinstating non-stochastic terms that have previously been omitted, and using the bandwidth to (approximately) cancel these positive quantities with the leading smoothing bias terms which are negative. Such estimators have exhibited great practical merit in the context of data-based selection of the bandwidth in kernel density estimation, a motivating application of this work discussed elsewhere.

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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 11 (1991)
Issue (Month): 6 (June)
Pages: 511-514
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Handle: RePEc:eee:stapro:v:11:y:1991:i:6:p:511-514

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Keywords: Bandwidth selection bias reduction functional estimation kernel density estimation rates of convergence smoothing;

Cited by:
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  1. L. Yang, . "Root-n Convergent Transformation-Kernel Density Estimation," Sonderforschungsbereich 373 1996-94, Humboldt Universitaet Berlin.
  2. Hidehiko Ichimura & Oliver Linton, 2003. "Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators," STICERD - Econometrics Paper Series /2003/451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  3. Powell, James L. & Stoker, Thomas M., 1992. "Optimal bandwidth choice for density-weighted averages," Working papers 3424-92., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  4. Duc Devroye & J. Beirlant & R. Cao & R. Fraiman & P. Hall & M. Jones & Gábor Lugosi & E. Mammen & J. Marron & C. Sánchez-Sellero & J. Uña & F. Udina & L. Devroye, 1997. "Universal smoothing factor selection in density estimation: theory and practice," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 6(2), pages 223-320, December. [Downloadable!] (restricted)
  5. Hirukawa Masayuki, 2004. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers 04005, Concordia University, Department of Economics. [Downloadable!]
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