Weighted uniform consistency of kernel density estimators with general bandwidth sequences

Details Weighted uniform consistency of kernel density estimators with general bandwidth sequences Weighted uniform consistency of kernel density estimators with general bandwidth sequences

2006-07-09

arxiv.org/abs/math/0607232v2

Mathematics

Statistics Theory

16 pages. Accepted for publication in Electronic Journal of Probability

Scientific paper

We are interested in the rate of consistency of kernel density estimators with respect to the weighted sup-norm determined by some unbounded weight function. This problem has been considered by Gine, Koltchinskii and Zinn (2004) for a deterministic bandwidth sequence. We provide "uniform in h" versions of some of their results, allowing us to determine the corresponding rates of consistency for kernel density estimators where the bandwidth sequences may depend on the data and/or the location.

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