KERNEL ESTIMATION OF CUMULATIVE DISTRIBUTION FUNCTION OF A RANDOM VARIABLE WITH BOUNDED SUPPORT

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Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics, Statistics & Probability

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ISSN: 1234-7655
eISSN: 2450-0291

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VOLUME 17 , ISSUE 3 (September 2016) > List of articles

KERNEL ESTIMATION OF CUMULATIVE DISTRIBUTION FUNCTION OF A RANDOM VARIABLE WITH BOUNDED SUPPORT

Aleksandra Baszczyńska *

Keywords : boundary effects, cumulative distribution function, kernel method, bounded support

Citation Information : Statistics in Transition New Series. Volume 17, Issue 3, Pages 541-556, DOI: https://doi.org/10.21307/stattrans-2016-037

License : (CC BY 4.0)

Published Online: 06-July-2017

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ABSTRACT

In the paper methods of reducing the so-called boundary effects, which appear in the estimation of certain functional characteristics of a random variable with bounded support, are discussed. The methods of the cumulative distribution function estimation, in particular the kernel method, as well as the phenomenon of increased bias estimation in boundary region are presented. Using simulation methods, the properties of the modified kernel estimator of the distribution function are investigated and an attempt to compare the classical and the modified estimators is made.

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REFERENCES

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