Generalised empirical likelihood-based kernel density estimation

Vitaliy Oryshchenko () and Richard Smith ()

No 2013-W03, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: If additional information about the distribution of a random variable is available in the form of moment conditions, a weighted kernel density estimate re ecting the extra information can be constructed by replacing the uniform weights with the generalised empirical likelihood probabilities. It is shown that the resultant density estimator provides an improved approximation to the moment constraints. Moreover, a reduction in variance is achieved due to the systematic use of the extra moment information.

Keywords: weighted kernel density estimation; moment conditions; higher-order expansions; normal mixtures. (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2013-02-12
New Economics Papers: this item is included in nep-dcm and nep-ecm
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