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Deconvoluting kernel density estimators. (English) Zbl 0697.62035

Summary: This paper considers estimation of a continuous bounded probability density when observations from the density are contaminated by additive measurement errors having a known distribution. Properties of the estimator obtained by deconvolving a kernel estimator of the observed data are investigated. When the kernel used is sufficiently smooth the deconvolved estimator is shown to be pointwise consistent and bounds on its integrated mean squared error are derived. Very weak assumptions are made on the measurement-error density thereby permitting a comparison of the effects of different types of measurement error on the deconvolved estimator.

MSC:

62G05 Nonparametric estimation
62J05 Linear regression; mixed models
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