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2010

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cc-by-nc-nd (c) Bolancé Losilla, Catalina, 2010
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/111235

Optimal Inverse Beta (3,3) Transformation in Kernel Density Estimation

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Abstract

A double transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, an asymptotically optimal bandwidth parameter can be calculated when minimizing the expression of the asymptotic mean integrated squared error of the transformed variable. Simulation results are presented showing that this approach performs better than existing alternatives. An application to insurance claim cost data is included.

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Econometria, Anàlisi funcional

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Econometrics, Functional analysis

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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BOLANCÉ LOSILLA, Catalina. Optimal Inverse Beta (3,3) Transformation in Kernel Density Estimation. Sort (Statistics and Operations Research Transactions). 2010. Vol. 34, num. 2, pags. 223-238. ISSN 1696-2281. [consulted: 15 of June of 2026]. Available at: https://hdl.handle.net/2445/111235

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