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Nonparametric density estimation for multivariate bounded data

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Abstract

We propose a new nonparametric estimator for the density function of multivariate bounded data. As frequently observed in practice, the variables may be partially bounded (e.g., nonnegative) or completely bounded (e.g., in the unit interval). In addition, the variables may have a point mass. We reduce the conditions on the underlying density to a minimum by proposing a nonparametric approach. By using a gamma, a beta, or a local linear kernel (also called boundary kernels), in a product kernel, the suggested estimator becomes simple in implementation and robust to the well known boundary bias problem. We investigate the mean integrated squared error properties, including the rate of convergence, uniform strong consistency and asymptotic normality. We establish consistency of the least squares cross-validation method to select optimal bandwidth parameters. A detailed simulation study investigates the performance of the estimators. Applications using lottery and corporate finance data are provided.

Suggested Citation

  • Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Nonparametric density estimation for multivariate bounded data," Cahiers de recherche 07-10, HEC Montréal, Institut d'économie appliquée.
  • Handle: RePEc:iea:carech:0710
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    1. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
    2. Gustavo Grullon & Roni Michaely, 2002. "Dividends, Share Repurchases, and the Substitution Hypothesis," Journal of Finance, American Finance Association, vol. 57(4), pages 1649-1684, August.
    3. Bouezmarni, Taoufik & Scaillet, Olivier, 2005. "Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data," Econometric Theory, Cambridge University Press, vol. 21(2), pages 390-412, April.
    4. Chen, Song Xi, 1999. "Beta kernel estimators for density functions," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 131-145, August.
    5. Lejeune, Michel & Sarda, Pascal, 1992. "Smooth estimators of distribution and density functions," Computational Statistics & Data Analysis, Elsevier, vol. 14(4), pages 457-471, November.
    6. Marron, James Stephen & Härdle, Wolfgang, 1986. "Random approximations to some measures of accuracy in nonparametric curve estimation," Journal of Multivariate Analysis, Elsevier, vol. 20(1), pages 91-113, October.
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    More about this item

    Keywords

    Asymmetric kernels; multivariate boundary bias; nonparametric multivariate density estimation; asymptotic properties; bandwidth selection; least squares cross-validation.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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