To read this content please select one of the options below:

A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions

aInternational School of Economics, Kazakh-British Technical University, Almaty, Kazakhstan
bDepartment of Economics, University of Colorado at Boulder, Boulder, CO, USA
cIFPRI, Washington, DC, USA
dDepartment of Mechanics and Mathematics, Kazakh National University, Almaty, Kazakhstan
eFaculty of Engineering and Natural Sciences, Suleyman Demirel University, Almaty, Kazakhstan

Essays in Honor of Aman Ullah

ISBN: 978-1-78560-787-5, eISBN: 978-1-78560-786-8

Publication date: 23 June 2016

Abstract

Estimators for derivatives associated with a density function can be useful in identifying its modes and inflection points. In addition, these estimators play an important role in plug-in methods associated with bandwidth selection in nonparametric kernel density estimation. In this paper, we extend the nonparametric class of density estimators proposed by Mynbaev and Martins-Filho (2010) to the estimation of m-order density derivatives. Contrary to some existing derivative estimators, the estimators in our proposed class have a full asymptotic characterization, including uniform consistency and asymptotic normality. An expression for the bandwidth that minimizes an asymptotic approximation for the estimators’ integrated squared error is provided. A Monte Carlo study sheds light on the finite sample performance of our estimators and contrasts it with that of density derivative estimators based on the classical Rosenblatt–Parzen approach.

Keywords

Acknowledgements

Acknowledgements

We thank two anonymous referees for useful comments.

Citation

Mynbaev, K., Martins-Filho, C. and Aipenova, A. (2016), "A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions", Essays in Honor of Aman Ullah (Advances in Econometrics, Vol. 36), Emerald Group Publishing Limited, Leeds, pp. 591-615. https://doi.org/10.1108/S0731-905320160000036026

Publisher

:

Emerald Group Publishing Limited

Copyright © 2016 Emerald Group Publishing Limited