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On kernel estimation of a multivariate distribution function

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  • Jin, Zhezhen
  • Shao, Yongzhao

Abstract

The optimal bandwidth of the d-dimensional kernel estimator of a density is well known to have order n-1/(4+d. In this note, the multivariate distribution function F(x) is estimated by integrating a kernel estimator of its density. The asymptotic optimal bandwidth of the d-dimensional kernel distribution estimator of F(x) is shown to have order n-1/3, for all dimensions d and at all points x except those satisfying the Laplace equation [Delta]F(x) = 0.

Suggested Citation

  • Jin, Zhezhen & Shao, Yongzhao, 1999. "On kernel estimation of a multivariate distribution function," Statistics & Probability Letters, Elsevier, vol. 41(2), pages 163-168, January.
    • Handle: RePEc:eee:stapro:v:41:y:1999:i:2:p:163-168
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    References listed on IDEAS

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    1. Shao, Yongzhao & Xiang, Xiaojing, 1997. "Some extensions of the asymptotics of a kernel estimator of a distribution function," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 301-308, June.
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    Cited by:

    1. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September.

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    1. David Shaffer & Andrea DeMaskey, 2005. "Currency Hedging Using the Mean-Gini Framework," Review of Quantitative Finance and Accounting, Springer, vol. 25(2), pages 125-137, September.

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