A Perturbation Technique for Sample Moment Matching in Kernel Density Estimation

Abstract

Summary The fundamental idea of kernel smoothing technique can be recognized as one-parameter data perturbation with a smooth density. The usual kernel density estimates might not match arbitrary sample moments calculated from the unsmoothed data. A technique based on two-parameter data perturbation is developed for sample moment matching in kernel density estimation. It is shown that the moments calculated from the resulting tuned kernel density estimate can be made arbitrarily close to the raw sample moments. Moreover, the pointwise rate of MISE of the resulting density estimates remains optimal. Relevant simulation studies are carried out to demonstrate the usefulness and other features of this technique.