Bias and bandwidth for local likelihood density estimation

Håkon Otneim, Hans Arnfinn Karlsen and Dag Tjøstheim

Statistics & Probability Letters, 2013, vol. 83, issue 5, 1382-1387

Abstract: A local likelihood density estimator is shown to have asymptotic bias depending on the dimension of the local parameterization. Comparing with kernel estimation it is demonstrated using a variety of bandwidths that we may obtain as good and potentially even better estimates using local likelihood. Boundary effects are also examined.

Keywords: Local likelihood; Density estimation; Bandwidth selection (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.02.003

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