fr
Rapport de recherche
Accès libre
Anglais

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator

Collection
  • Cahiers de recherche; 2003.20
Date de publication2003
Résumé

We consider semiparametric asymmetric kernel density estimators when the unknown density has support on [ 0, infinity) We provide a unifying framework which contains asymmetric kernel versions of several semiparametric density estimators considered previously in the literature This framework allows us to use popular parametric models in a nonparametric fashion and yields estimators which are robust to misspecification We further develop a specification test to determine if a density belongs to a particular parametric family The proposed estimators outperform rival non- and semiparametric estimators in finite samples and are simple to implement We provide applications to loss data from a large Swiss health insurer and Brazilian income data.

Mots-clés
  • Semiparametric density estimation
  • Asymmetric kernel
  • Income distribution
  • Loss distribution
  • Health insurance
  • Specification testing
Classification
  • JEL : C13, C14
Citation (format ISO)
HAGMANN, Matthias, SCAILLET, Olivier. Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator. 2003
Fichiers principaux (1)
Report
accessLevelPublic
Identifiants
  • PID : unige:5788
555vues
887téléchargements

Informations techniques

Création15/04/2010 12:20:07
Première validation15/04/2010 12:20:07
Heure de mise à jour14/03/2023 15:26:35
Changement de statut14/03/2023 15:26:35
Dernière indexation02/05/2024 11:31:59
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack