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Nonparametric recursive method for moment generating function kernel-type estimators. (English) Zbl 1480.62065

Summary: In the present paper, we are mainly concerned with the kernel type estimators for the moment generating function. More precisely, we establish the central limit theorem together with the characterization of the bias and the variance for the nonparametric recursive kernel-type estimators for the moment generating function under some mild conditions. Finally, we investigate the performance of the methodology for small samples through a short simulation study.

MSC:

62G07 Density estimation
62L20 Stochastic approximation
60F10 Large deviations
62G08 Nonparametric regression and quantile regression

Software:

KernSmooth
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Full Text: DOI

References:

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