Zero‐Bias Locally Adaptive Density Estimators

Strategies for improving fixed non‐negative kernel estimators have focused on reducing the bias, either by employing higher‐order kernels or by adjusting the bandwidth locally. Intuitively, bandwidths in the tails should be relatively larger in order to reduce wiggles since there is less data available in the tails. We show that in regions where the density function is convex, it is theoretically possible to find local bandwidths such that the pointwise bias is exactly zero. The corresponding pointwise mean squared error converges at the parametric rate of O(n−1) rather than the slower O(n−4/5). These so‐called zero‐bias bandwidths are constant and are usually orders of magnitude larger than the optimal locally adaptive bandwidths predicted by asymptotic mean squared error analysis. We describe data‐based algorithms for estimating zero‐bias bandwidths over intervals where the density is convex. We find that our particular density estimator attains the usual O(n−4/5) rate. However, we demonstrate that the algorithms can provide significant improvement in mean squared error, often clearly visually superior curves, and a new operating point in the usual bias‐variance tradeoff.