Measuring the efficiency of trigonometric series estimates of a density

Peter Hall

Journal of Multivariate Analysis, 1983, vol. 13, issue 2, 234-256

Abstract: Some types of density estimators, particularly those based on trigonometric series, converge reasonably quickly to their limit except in the neighbourhood of one or two singularities. In this situation the mean integrated square error, the traditional measure of the efficiency of a density estimator, is an unsatisfactory measure. The notion of partial mean integrated square error is introduced and used to compare the performance of trigonometric series estimators. The results lead to consideration of some new estimators which have excellent properties from the points of view of both efficiency and ease of computation.

Keywords: density; estimate; mean; square; error; mean; integrated; square; error; singular; integral; trigonometric; series (search for similar items in EconPapers)
Date: 1983
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