30 research outputs found
Integrated Square Error Asymptotics for Supersmooth Deconvolution
We derive the asymptotic distribution of the integrated square error of a deconvolution kernel density estimator in supersmooth deconvolution problems. Surprisingly, in contrast to direct density estimation as well as ordinary smooth deconvolution density estimation, the asymptotic distribution is no longer a normal distribution but is given by a normalized chi-squared distribution with 2 d.f. A simulation study shows that the speed of convergence to the asymptotic law is reasonably fast. Copyright 2006 Board of the Foundation of the Scandinavian Journal of Statistics..
Nonparametric testing the similarity of two unknown density functions: local power and bootstrap analysis
Goodness-of-fit Tests Based on the Kernel Density Estimator
Given an i.i.d. sample drawn from a density "f" on the real line, the problem of testing whether "f" is in a given class of densities is considered. Testing procedures constructed on the basis of minimizing the "L" 1-distance between a kernel density estimate and any density in the hypothesized class are investigated. General non-asymptotic bounds are derived for the power of the test. It is shown that the concentration of the data-dependent smoothing factor and the 'size' of the hypothesized class of densities play a key role in the performance of the test. Consistency and non-asymptotic performance bounds are established in several special cases, including testing simple hypotheses, translation/scale classes and symmetry. Simulations are also carried out to compare the behaviour of the method with the Kolmogorov-Smirnov test and an "L" 2 density-based approach due to Fan ["Econ. Theory" 10 (1994) 316]. Copyright 2005 Board of the Foundation of the Scandinavian Journal of Statistics..