Inverse beta transformation in kernel density estimation

Catalina Bolancé, Montserrat Guillen and Jens Perch Nielsen

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1757-1764

Abstract: A transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, the choice of the bandwidth parameter becomes straightforward. An illustration and simulation results are presented.

Date: 2008
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