Bernstein estimator for unbounded density function
Authors:
T. Bouezmarni a;
J. M. Rolin a
| Affiliation: | a Institute of Statistics, Universit Catholique de Louvain, Belgium |
DOI:
10.1080/10485250701441218
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
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Abstract
Nonparametric estimation for an unknown probability density function f with a known compact support [0, 1] not necessarily bounded at x=0 is considered. For such class of density functions, we consider the Bernstein estimator. The uniform weak consistency and the uniform strong consistency on each compact I in (0, 1) are established for the Bernstein estimator. We prove also the almost sure convergence to infinity at x=0 of the Bernstein estimator when the density function f is unbounded at x=0. To select the optimal bandwidth parameter of the Bernstein estimator, the least squares cross-validation and the likelihood cross-validation methods are developed.
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| Keywords: Density estimation; Bernstein polynomial; Unbounded density; Weak consistency |
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Catholique de Louvain, Belgium
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