Recursive distribution estimator defined by stochastic approximation method using Bernstein polynomials

Asma Jmaei, Yousri Slaoui and Wassima Dellagi

Journal of Nonparametric Statistics, 2017, vol. 29, issue 4, 792-805

Abstract: We propose a recursive distribution estimator using Robbins-Monro's algorithm and Bernstein polynomials. We study the properties of the recursive estimator, as a competitor of Vitale's distribution estimator. We show that, with optimal parameters, our proposal dominates Vitale's estimator in terms of the mean integrated squared error. Finally, we confirm theoretical result throught a simulation study.

Date: 2017
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DOI: 10.1080/10485252.2017.1369538

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