Some extensions of the asymptotics of a kernel estimator of a distribution function

Yongzhao Shao and Xiaojing Xiang

Statistics & Probability Letters, 1997, vol. 34, issue 3, 301-308

Abstract: The asymptotic results for a kernel estimator of a distribution function F [Azzalini (1981)] are extended. Under certain smoothness conditions on the quantile function, it is established that, a class of kernel estimators of F can achieve a smaller mean squared error than the empirical distribution function, even at points where the density is unbounded or has zero derivative. Asymptotic optimal bandwidths are obtained.

Keywords: Kernel; estimator; Asymptotic; optimal; bandwidth; Quantiles; Empirical; distribution; function; Mean; squared; error (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (2)

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