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k nearest-neighbor estimation of inverse density weighted expectations

David Jacho-Chávez ()
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David Jacho-Chávez: Indiana University

Authors registered in the RePEc Author Service: David Tomás Jacho-Chávez ()

Economics Bulletin, 2008, vol. 3, issue 48, 1-6

Abstract: This letter considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-Nearest Neighbor method. L²-consistency is established. The proposed estimator is also shown to be asymptotically semiparametric efficient. Some limited Monte Carlo experiments show that the proposed estimator performs as good as alternative methods in finite sample applications.

Keywords: Nearest; neighbor (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2008-08-21
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