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Skewing-methods for two-parameter locally parametric density estimation

Cheng, M-Y; Choi, E; Fan, Jianqing; Hall, Peter


A 'skewing' method is shown to effectively reduce the order of bias of locally parametric estimators, and at the same time retain positivity properties. The technique involves first calculating the usual locally parametric approximation in the neighbourhood of a point x' that is a short distance from the place x where we wish to estimate the density, and then evaluating this approximation at x. By way of comparison, the usual locally parametric approach takes x' = x. In our construction, x' -x...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
Source: Bernoulli


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