On the Devroye-Györfi methods of correcting density estimators

M. Kaluszka

Statistics & Probability Letters, 1998, vol. 37, issue 3, 249-257

Abstract: Suppose that an estimator f of a density g is not a bona fide density. In 1985 Devroye and Györfi proposed to use the estimator defined by instead of [latin small letter f with hook]. We examine properties of the estimator provided the accuracy of estimation is measured by the Ciszsar divergence. It is shown that is a metric projection of [latin small letter f with hook] onto the set of densities. Moreover, for every density g, the distance between and g is not greater than the distance between [latin small letter f with hook] and g. Correcting the support of an estimator is also discussed.

Keywords: Density; estimation; Bona; fide; density; Normalization; The; Ciszsar; divergence; Minimum; distance; method (search for similar items in EconPapers)
Date: 1998
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