Averaging of density kernel estimators

O. Chernova, F. Lavancier and P. Rochet

Statistics & Probability Letters, 2020, vol. 158, issue C

Abstract: We study the theoretical properties of a linear combination of density kernel estimators obtained from different data-driven bandwidths. The average estimator is proved to be asymptotically as efficient as the oracle, with a control on the error term. The performances are tested numerically, with results that compare favorably to other existing procedures.

Keywords: Aggregation; Bandwidth selection; Non-parametric estimation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108645

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