Bagging of density estimators

Mathias Bourel () and Jairo Cugliari ()
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Mathias Bourel: Universidad de la República
Jairo Cugliari: Université Lumière Lyon 2

Computational Statistics, 2019, vol. 34, issue 4, No 18, 1849-1869

Abstract: Abstract In this work we give new density estimators by averaging classical density estimators such as the histogram, the frequency polygon and the kernel density estimators obtained over different bootstrap samples of the original data. Using existent results, we prove the $$L^2$$ L 2 -consistency of these new estimators and compare them to several similar approaches by simulations. Based on them, we give also a way to construct non-parametric pointwise variability band for the target density.

Keywords: Aggregation; Bagging; Density estimation; Histogram; Kernel density estimator; Polygon frequency (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00180-019-00889-9

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