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Kernel Density Estimation with Linked Boundary Conditions
Matthew J. Colbrook, Zdravko I. Botev, Karsten Kuritz +1
Kernel density estimation on a finite interval poses an outstanding challenge because of the well-recognized bias at the boundaries of the interval. Motivated by an application in…
Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables
Patrick J. Laub, Robert Salomone, Zdravko I. Botev
We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conduc…
Kernel density estimation via diffusion
Z. I. Botev, J. F. Grotowski, D. P. Kroese
We present a new adaptive kernel density estimator based on linear diffusion processes. The proposed estimator builds on existing ideas for adaptive smoothing by incorporating info…