A Class of Nonparametric Density Derivative Estimators Based on Global Lipschitz Conditions | CU Experts

Abstract; Estimators for derivatives associated with a density function can be useful in identifying its modes and inflection points. In addition, these estimators play an important role in plug-in methods associated with bandwidth selection in nonparametric kernel density estimation. In this paper, we extend the nonparametric class of density estimators proposed by Mynbaev and Martins-Filho (2010) to the estimation of m-order density derivatives. Contrary to some existing derivative estimators, the estimators in our proposed class have a full asymptotic characterization, including uniform consistency and asymptotic normality. An expression for the bandwidth that minimizes an asymptotic approximation for the estimators’ integrated squared error is provided. A Monte Carlo study sheds light on the finite sample performance of our estimators and contrasts it with that of density derivative estimators based on the classical Rosenblatt–Parzen approach.

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