On-line density estimators with high efficiency

Research output: Contribution to journalArticle

Abstract

We present on-line procedures for estimating density functions and their derivatives. At each step, M terms are updated. By increasing M the efficiency compared to the traditional off-line kernel density estimator tends to one. Already for M = 2, it exceeds 99.1% for kernel orders and derivatives of practical interest.

Details

Authors
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Probability Theory and Statistics

Keywords

  • recursive density estimator, Asymptotic mean-squared error, efficiency, kernel density estimator, on-line density estimator, on-line bandwidth selection
Original languageEnglish
Pages (from-to)829-833
JournalIEEE Transactions on Information Theory
Volume41
Issue number3
Publication statusPublished - 1995
Publication categoryResearch
Peer-reviewedYes