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Kernel Estimation of Cumulative Distribution Function of a Random Variable with Bounded Support

Aleksandra Baszczyńska ()

Statistics in Transition new series, 2016, vol. 17, issue 3, 541-556

Abstract: In the paper methods of reducing the so-called boundary effects, which appear in the estimation of certain functional characteristics of a random variable with bounded support, are discussed. The methods of the cumulative distribution function estimation, in particular the kernel method, as well as the phenomenon of increased bias estimation in boundary region are presented. Using simulation methods, the properties of the modified kernel estimator of the distribution function are investigated and an attempt to compare the classical and the modified estimators is made.

Keywords: boundary effects; cumulative distribution function; kernel method; bounded support (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:csb:stintr:v:17:y:2016:i:3:p:541-556