Back To Index Previous Article Next Article Full Text

Statistica Sinica 21 (2011), 807-840



José E. Chacón$^1$, Tarn Duong$^{2,3}$ and M. P. Wand$^4$

$^1$Universidad de Extremadura, $^2$Institut Pasteur, $^3$Institut Curie
and $^4$University of Wollongong

Abstract: We investigate kernel estimators of multivariate density derivative functions using general (or unconstrained) bandwidth matrix selectors. These density derivative estimators have been relatively less well researched than their density estimator analogues. A major obstacle for progress has been the intractability of the matrix analysis when treating higher order multivariate derivatives. With an alternative vectorization of these higher order derivatives, mathematical intractabilities are surmounted in an elegant and unified framework. The finite sample and asymptotic analysis of squared errors for density estimators are generalized to density derivative estimators. Moreover, we are able to exhibit a closed form expression for a normal scale bandwidth matrix for density derivative estimators. These normal scale bandwidths are employed in a numerical study to demonstrate the gain in performance of unconstrained selectors over their constrained counterparts.

Key words and phrases: Asymptotic mean integrated squared error, normal scale rule, optimal, unconstrained bandwidth matrices.

Back To Index Previous Article Next Article Full Text