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Bernstein estimator for unbounded density function 

Authors: T. Bouezmarni a; J. M. Rolin a
Affiliation:   a Institute of Statistics, Universiteacute Catholique de Louvain, Belgium
DOI: 10.1080/10485250701441218
Publication Frequency: 8 issues per year
Published in: journal Journal of Nonparametric Statistics, Volume 19, Issue 3 April 2007 , pages 145 - 161
Formats available: HTML (English) : PDF (English)
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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.
Keywords: Density estimation; Bernstein polynomial; Unbounded density; Weak consistency
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