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Another bias correction for asymmetric kernel density estimation with a parametric start

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  • Hirukawa, Masayuki
  • Sakudo, Mari

Abstract

This paper studies yet another semiparametric bias-corrected density estimation using asymmetric kernels. The estimator can be obtained by making a multiplicative bias correction for the initial parametric model twice, and it is shown to establish rate improvement when best implemented.

Suggested Citation

  • Hirukawa, Masayuki & Sakudo, Mari, 2019. "Another bias correction for asymmetric kernel density estimation with a parametric start," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 158-165.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:158-165
    DOI: 10.1016/j.spl.2018.09.002
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    References listed on IDEAS

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    1. Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
    2. Song Chen, 2000. "Probability Density Function Estimation Using Gamma Kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 471-480, September.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    4. Masayuki Hirukawa & Mari Sakudo, 2015. "Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(1), pages 41-63, March.
    5. Xiaodong Jin & Janusz Kawczak, 2003. "Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 103-124, May.
    6. Gustafsson, J. & Hagmann, M. & Nielsen, J. P. & Scaillet, O., 2009. "Local Transformation Kernel Density Estimation of Loss Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 161-175.
    7. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
    8. Hirukawa, Masayuki, 2010. "Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 473-495, February.
    9. Hirukawa, Masayuki & Sakudo, Mari, 2014. "Nonnegative bias reduction methods for density estimation using asymmetric kernels," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 112-123.
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    Cited by:

    1. Ouimet, Frédéric & Tolosana-Delgado, Raimon, 2022. "Asymptotic properties of Dirichlet kernel density estimators," Journal of Multivariate Analysis, Elsevier, vol. 187(C).

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