Reference
Thomas Nagler “Asymptotic Analysis of the Jittering Kernel Density Estimator” (2018) // Mathematical Methods of Statistics. Publisher: Allerton Press. Vol. 27. No 1. Pp. 32–46. DOI: 10.3103/s1066530718010027
Abstract
Jittering estimators are nonparametric function estimators for mixed data. They extend arbitrary estimators from the continuous setting by adding random noise to discrete variables. We give an in-depth analysis of the jittering kernel density estimator, which reveals several appealing properties. The estimator is strongly consistent, asymptotically normal, and unbiased for discrete variables. It converges at minimax-optimal rates, which are established as a by-product of our analysis. To understand the effect of adding noise, we further study its asymptotic efficiency and finite sample bias in the univariate discrete case. Simulations show that the estimator is competitive on finite samples. The analysis suggests that similar properties can be expected for other jittering estimators.
Bib
@Article{nagler2018a,
title = {Asymptotic Analysis of the Jittering Kernel Density Estimator},
abstract = {Jittering estimators are nonparametric function estimators for mixed data. They extend arbitrary estimators from the continuous setting by adding random noise to discrete variables. We give an in-depth analysis of the jittering kernel density estimator, which reveals several appealing properties. The estimator is strongly consistent, asymptotically normal, and unbiased for discrete variables. It converges at minimax-optimal rates, which are established as a by-product of our analysis. To understand the effect of adding noise, we further study its asymptotic efficiency and finite sample bias in the univariate discrete case. Simulations show that the estimator is competitive on finite samples. The analysis suggests that similar properties can be expected for other jittering estimators.},
volume = {27},
issn = {1934-8045},
doi = {10.3103/s1066530718010027},
arxiv = {1705.05431},
number = {1},
journal = {Mathematical Methods of Statistics},
publisher = {Allerton Press},
author = {Thomas Nagler},
year = {2018},
month = {jan},
pages = {32–46}
}