Nonparametric kernel density estimation for general grouped data

Miguel Reyes, Mario Francisco-Fernández and Ricardo Cao

Journal of Nonparametric Statistics, 2016, vol. 28, issue 2, 235-249

Abstract: Interval-grouped data are defined, in general, when the event of interest cannot be directly observed and it is only known to have been occurred within an interval. In this framework, a nonparametric kernel density estimator is proposed and studied. The approach is based on the classical Parzen--Rosenblatt estimator and on the generalisation of the binned kernel density estimator. The asymptotic bias and variance of the proposed estimator are derived under usual assumptions, and the effect of using non-equally spaced grouped data is analysed. Additionally, a plug-in bandwidth selector is proposed. Through a comprehensive simulation study, the behaviour of both the estimator and the plug-in bandwidth selector considering different scenarios of data grouping is shown. An application to real data confirms the simulation results, revealing the good performance of the estimator whenever data are not heavily grouped.

Date: 2016
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DOI: 10.1080/10485252.2016.1163348

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