The density estimator, $f^\ast_n(x) = n^{-1}\sum^n_{j = 1}h^{-1}_jK((x - X_j)/h_j)$, as well as the closely related one $f^\dagger_n(x) = n^{-1}h_n^{-\frac{1}{2}}\sum^n_{j = 1}h_j^{-\frac{1}{2}}K((x - X_j)/h_j)$ are considered. Expressions for asymptotic bias and variance are developed. Using the almost sure invariance principle, laws of the iterated logarithm are developed. Finally, illustration of these results with sequential estimation procedures are made.
Publié le : 1979-03-14
Classification:
Recursive estimators,
asymptotic bias,
asymptotic variance,
weak consistency,
almost sure invariance principle,
law of the iterated logarithm,
strong consistency,
asymptotic distribution,
sequential procedure,
62G05,
62L12,
60F20,
60G50
@article{1176344616,
author = {Wegman, Edward J. and Davies, H. I.},
title = {Remarks on Some Recursive Estimators of a Probability Density},
journal = {Ann. Statist.},
volume = {7},
number = {1},
year = {1979},
pages = { 316-327},
language = {en},
url = {http://dml.mathdoc.fr/item/1176344616}
}
Wegman, Edward J.; Davies, H. I. Remarks on Some Recursive Estimators of a Probability Density. Ann. Statist., Tome 7 (1979) no. 1, pp. 316-327. http://gdmltest.u-ga.fr/item/1176344616/