A Simple Deconvolving Kernel Density Estimator when Noise is Gaussian
Deconvolving kernel estimators when noise is Gaussian entail heavy calculations. In order to obtain the density estimates numerical evaluation of a specific integral is needed. This work proposes an approximation to the deconvolving kernel which simplifies considerably calculations by avoiding the typical numerical integration. Simulations included indicate that the lost in performance relatively to the true deconvolving kernel, is almost negligible in finite samples.
|Date of creation:||05 Aug 2005|
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|Note:||Type of Document - pdf; prepared on windows; pages: 9. pdf for Windows document submitted via ftp|
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- Horowitz, Joel L & Markatou, Marianthi, 1996. "Semiparametric Estimation of Regression Models for Panel Data," Review of Economic Studies, Wiley Blackwell, vol. 63(1), pages 145-68, January.
- Wand, M. P., 1998. "Finite sample performance of deconvolving density estimators," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 131-139, February.
- Laurent E. Calvet & Etienne Comon, 2000.
"Behavioral Heterogeneity and The Income Effect,"
Harvard Institute of Economic Research Working Papers
1892, Harvard - Institute of Economic Research.
- Joel L. Horowitz & Marianthi Markatou, 1993. "Semiparametric Estimation Of Regression Models For Panel Data," Econometrics 9309001, EconWPA.
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