Uniform-in-bandwidth nearest-neighbor density estimation

Sarah Ouadah

Statistics & Probability Letters, 2013, vol. 83, issue 8, 1835-1843

Abstract: We present a sharp uniform-in-bandwidth limit law for the nearest-neighbor density estimator. Our result is established in the framework of convergence in probability, and we allow the bandwidth to vary within the complete range for which the estimator is consistent. We provide the explicit value of the asymptotic limiting constant for the uniform-in-bandwidth sup-norm of the estimator’s random error.

Keywords: Nonparametric density estimation; Nearest-neighbor density estimator; Uniform empirical quantile process; Functional limit laws; Convergence in probability (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.04.014

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