Fourier methods for smooth distribution function estimation

José E. Chacón, Pablo Monfort and Carlos Tenreiro

Statistics & Probability Letters, 2014, vol. 84, issue C, 223-230

Abstract: The limit behavior of the optimal bandwidth sequence for the kernel distribution function estimator is analyzed, in its greatest generality, by using Fourier transform methods. We show a class of distributions for which the kernel estimator achieves a first-order improvement in efficiency over the empirical estimator.

Keywords: Fourier analysis; Kernel distribution estimation; Mean integrated squared error; Optimal bandwidth; Sinc kernel (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2013.10.010

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