Fourier methods for smooth distribution function estimation

The limit behavior of the optimal bandwidth sequence for the kernel distribution function estimator is analyzed, in its greatest generality, by using Fourier transform methods. We show a class of distributions for which the kernel estimator achieves a first-order improvement in efficiency over the empirical estimator.

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Year of publication:	2014
Authors:	Chacón, José E. ; Monfort, Pablo ; Tenreiro, Carlos
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 84.2014, C, p. 223-230
Publisher:	Elsevier
Subject:	Fourier analysis \| Kernel distribution estimation \| Mean integrated squared error \| Optimal bandwidth \| Sinc kernel

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039941