Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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ON HELLINGER CONSISTENT DENSITY ESTIMATION

  • Nicoleris, Theodoros (Department of Statistics and Actuarial Science, University of the Aegean) ;
  • Walker, Stephen-G. (Department of Mathematical Sciences, University of Bath)
  • Published : 2003.09.01
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Abstract

This paper introduces a new density estimator which is Hellinger consistent under a simple condition. A number of issues are discussed, such as extension to Kullback-Leibler consistency, robustness, the Bayes version of the estimator and the maximum likelihood case. An illustration is presented.

Keywords

References

  1. The Annals of Statistics v.2 Estimation of distributions using orthogonal expansions CRAIN,B.R.
  2. Probability Theory (3rd ed.) LOEVE,M.
  3. The Annals of Statistics v.21 Hellinger consistency of certain nonparametric maximum likelihood estimators VAN DE GEER,S.
  4. Biometrika v.90 On suffcient conditions for Bayesian consistency WALKER,S.G.