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.