Local likelihood density estimation based on smooth truncation
Pedro Delicado
Biometrika Volume 93, Number 2, pp. 472-480, 2006. ISSN 0006-3444

Abstract

Two existing density estimators based on local likelihood have properties that are comparable to those of local likelihood regression but they are much less used than their counterparts in regression. We consider truncation as a natural way of localising parametric density estimation. Based on this idea, a third local likelihood density estimator is introduced. Our main result establishes that the three estimators coincide when a free multiplicative constant is used as an extra local parameter.

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