Inverse beta transformation in kernel density estimation

A transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, the choice of the bandwidth parameter becomes straightforward. An illustration and simulation results are presented.

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Year of publication:	2008
Authors:	Bolancé, Catalina ; Guillén, Montserrat ; Nielsen, Jens Perch
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 13, p. 1757-1764
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005138143