Finite sample performance of deconvolving density estimators

✍ Scribed by M.P. Wand

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 447 KB
• Volume: 37
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(97)00110-7

✦ Synopsis

Recent studies have shown that the asymptotic performance of nonparametric curve estimators in the presence of measurement error will often be very much inferior to that when the observations are error-flee. For example, deconvolution of Gaussian measurement error worsens the usual algebraic convergence rates of kernel estimators to very slow logarithmic rates. However, the slow convergence rates mean that very large sample sizes may be required for the asymptotics to take effect, so the finite sample properties of the estimator may not be very well described by the asymptotics. In this article finite sample calculations are performed for the important cases of Gaussian and Laplacian measurement error which provide insight into the feasibility of deconvolving density estimators for practical sample sizes. Our results indicate that for lower levels of measurement error deconvolving density estimators can perform well for reasonable sample sizes. (~