Finite sample properties of an adaptive density estimator. (English) Zbl 1031.62029
Summary: Finite sample properties for an adaptive density estimator are given. Our approach is numerical and also allows the meaning of the sensitivity parameter, \(\alpha\), to be studied for different densities. The performance of the adaptive density estimator is compared to the kernel density estimator and the estimator by N. L. Hjort and I. K. Glad [Ann. Stat. 23, 882-904 (1995; Zbl 0838.62027)] for the normal mixture truths introduced by J. S. Marron and M. P. Wand [ibid. 20, 712-736 (1992; Zbl 0746.62040)]. Our results confirm that the adaptive density estimator is a good estimator in many cases and that the choice \(\alpha=0.5\) frequently is a good one.
MSC:
| 62G07 | Density estimation |
| 65C60 | Computational problems in statistics (MSC2010) |
Keywords:
adaptive density estimator; MISE results; normal mixtures; sensitivity parameter; finite sample comparisonsReferences:
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