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Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels

  • O. Scaillet

This paper introduces two new nonparametric estimators for probability density functions which have support on the non-negative half-line. These kernel estimators are based on some inverse Gaussian and reciprocal inverse Gaussian probability density functions used as kernels. We show that they share the same properties as those of gamma kernel estimators : they are free of boundary bias, always non-negative, and achieve the optimal rate of convergence for the mean integrated squarred error. Extensions to regression curve estimation and hazard rate estimation under random censoring are briefly discussed. Monte Carlo results concerning finite sample properties are reported for different distributions.

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Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2001-24.

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Date of creation: 2001
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Handle: RePEc:ema:worpap:2001-24
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  1. DREZE, Jacques H., 1997. "Walras-Keynes equilibria coordination and macroeconomics," CORE Discussion Papers 1997051, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Howitt, Peter & McAfee, R Preston, 1992. "Animal Spirits," American Economic Review, American Economic Association, vol. 82(3), pages 493-507, June.
  3. Hart, Oliver, 1982. "A Model of Imperfect Competition with Keynesian Features," The Quarterly Journal of Economics, MIT Press, vol. 97(1), pages 109-38, February.
  4. Jordi GalÎ, 1996. "Multiple equilibria in a growth model with monopolistic competition (*)," Economic Theory, Springer, vol. 8(2), pages 251-266.
  5. P. Diamond, 1980. "Aggregate Demand Management in Search Equilibrium," Working papers 268, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Cooper, Russell & John, Andrew, 1988. "Coordinating Coordination Failures in Keynesian Models," The Quarterly Journal of Economics, MIT Press, vol. 103(3), pages 441-63, August.
  7. Jones, Larry E & Manuelli, Rodolfo E, 1992. "The Coordination Problem and Equilibrium Theories of Recessions," American Economic Review, American Economic Association, vol. 82(3), pages 451-71, June.
  8. DRÈZE, Jacques H., . "On the macroeconomics of uncertainty and incomplete markets," CORE Discussion Papers RP -1510, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. Bryant, John, 1983. "A Simple Rational Expectations Keynes-Type Model," The Quarterly Journal of Economics, MIT Press, vol. 98(3), pages 525-28, August.
  10. Kiyotaki, Nobuhiro, 1988. "Multiple Expectational Equilibria under Monopolistic Competition," The Quarterly Journal of Economics, MIT Press, vol. 103(4), pages 695-713, November.
  11. Roberts, John, 1987. "An Equilibrium Model with Involuntary Unemployment at Flexible, Competitive Prices and Wages," American Economic Review, American Economic Association, vol. 77(5), pages 856-74, December.
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