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A class of nonparametric density derivative estimators based on global Lipschitz conditions

Kairat Mynbaev (), Carlos Martins-Filho and Aziza Aipenova

MPRA Paper from University Library of Munich, Germany

Abstract: Estimators for derivatives associated with a density function can be useful in identifying its modes and inflection points. In addition, these estimators play an important role in plug-in methods associated with bandwidth selection in nonparametric kernel density estimation. In this paper we extend the nonparametric class of density estimators proposed by Mynbaev and Martins Filho (2010) to the estimation of $m$-order density derivatives. Contrary to some existing derivative estimators, the estimators in our proposed class have a full asymptotic characterization, including uniform consistency and asymptotic normality. An expression for the bandwidth that minimizes an asymptotic approximation for the estimators' integrated squared error is provided. A Monte Carlo study sheds light on the finite sample performance of our estimators and contrasts it with that of density derivative estimators based on the classical Rosenblatt-Parzen approach.

Keywords: nonparametric derivative estimation; Lipschitz conditions (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2015, Revised 2014
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Published in Advances in Econometrics Essays in Honor of Aman Ullah.36(2016): pp. 591-615

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