The Annals of Statistics

On local likelihood density estimation

M. C. Jones, B. U. Park, and W. C. Kim

Full-text: Open access

Abstract

This paper considers a class of local likelihood methods introduced by Eguchi and Copas. Unified asymptotic results are presented in the usual smoothing context of the bandwidth, h, tending to zero as the sample size tends to infinity. We present our results pointwise in the univariate case, but then go on to extend them to global properties and to indicate how to cope with the multivariate case. Specific members of the class due to Copas, and Hjort and Jones are seen to be members of a subset of the whole class with the same, and best, small h behavior. Further comparisons between members of the class are alluded to based on the complementary large h asymptotic results of Eguchi and Copas.

Article information

Source
Ann. Statist., Volume 30, Number 5 (2002), 1480-1495.

Dates
First available in Project Euclid: 28 October 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1035844984

Digital Object Identifier
doi:10.1214/aos/1035844984

Mathematical Reviews number (MathSciNet)
MR1936327

Zentralblatt MATH identifier
1015.62032

Subjects
Primary: 62G07: Density estimation
Secondary: 62G20: Asymptotic properties

Keywords
Kernel smoothing locally parametric density estimation semiparametric inference small bandwidth asymptotics

Citation

Park, B. U.; Kim, W. C.; Jones, M. C. On local likelihood density estimation. Ann. Statist. 30 (2002), no. 5, 1480--1495. doi:10.1214/aos/1035844984. https://projecteuclid.org/euclid.aos/1035844984


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References

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