Report
OA Policy
English

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator

Collection
  • Cahiers de recherche; 2003.20
Publication date2003
Abstract

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.

Keywords
  • Semiparametric density estimation
  • Asymmetric kernel
  • Income distribution
  • Loss distribution
  • Health insurance
  • Specification testing
Classification
  • JEL : C13, C14
Citation (ISO format)
HAGMANN, Matthias, SCAILLET, Olivier. Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimator. 2003
Main files (1)
Report
accessLevelPublic
Identifiers
  • PID : unige:5788
582views
901downloads

Technical informations

Creation15/04/2010 14:20:07
First validation15/04/2010 14:20:07
Update time14/03/2023 16:26:35
Status update14/03/2023 16:26:35
Last indexation29/10/2024 15:23:07
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack