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Multivariate Density Estimation using Dimension Reducing Information and Tail Flattening Transformations ∗ Tine Buch-Kromann † Montserrat Guillen ‡ Oliver Linton §

By Jens Perch Nielsen

Abstract

We propose a new multiplicative bias correction method for multivariate density estimation that improves over kernel methods with regard to bias reduction and variance reduction under some circumstances. The transformation kernel density estimation method is extended to the multivariate case and is combined with our proposal. The distribution theory for the bias reduction method, the transformation method, and the combined method is derived. The methods are applied to a fire insurance data set

Topics: , Bias Reduction, Kernel, Multiplicative correction
Year: 2006
OAI identifier: oai:CiteSeerX.psu:10.1.1.134.839
Provided by: CiteSeerX
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