51561

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Доклад

Название: 

Light- and heavy- tailed density estimation by gamma and Gamma-Weibull kernels

ISBN/ISSN: 

3319969412, 9783319969411

DOI: 

10.1007/978-3-319-96941-1_10

Наименование конференции: 

  • 3rd Conference of the International Society for Nonparametric Statistics (ISNPS 2016)

Наименование источника: 

  • Springer Proceedings in Mathematics and Statistics (2018): 3rd Conference of the International Society for Nonparametric Statistics

Город: 

  • New York

Издательство: 

  • Springer

Год издания: 

2018

Страницы: 

145-158
Аннотация
We consider the nonparametric estimation of the univariate heavy tailed probability density function (pdf) with a support on [0,∞) by independent data. To this end we construct the new kernel estimator as a combination of the asymmetric gamma and weibull kernels, ss. gamma-weibullkernel. Thegammakernelis nonnegative,changestheshapedependingonthe position on the semi-axis and possess good boundary properties for a wide class of densities. Thus, we use it to estimate the pdf near the zero boundary. The weibull kernel is based on the weibull distribution which can be heavy tailed and hence we use it to estimate the tail of the unknownpdf. The theoretical asymptotic properties of the proposeddensity estimator like bias and variance are derived. We obtain the optimal bandwidth selection for the estimate as a minimum of the mean integrated squared error (MISE). Optimal rate of convergence of the MISE for the density is found.

Библиографическая ссылка: 

Маркович Л.А. Light- and heavy- tailed density estimation by gamma and Gamma-Weibull kernels / Springer Proceedings in Mathematics and Statistics (2018): 3rd Conference of the International Society for Nonparametric Statistics. New York: Springer, 2018. С. 145-158.