Uniform-in-bandwidth consistency for nonparametric estimation of divergence measures

Abstract

We propose nonparametric estimation of divergence measures between continuous distributions. Our approach is based on a plug-in kernel- type estimators of density functions. We give the uniform in bandwidth consistency for the proposal estimators. As a consequence, their asymp- totic 100% confidence intervals are also provided.

17 pages. arXiv admin note: text overlap with arXiv:0807.2153 by other authors