Optimal bandwidth selection for multivariate kernel deconvolution density estimation

Abstract

Assume we have i.i.d. replications from the mismeasured random vector Y=X+e, where X and e are mutually independent. We consider a data-driven bandwidth, based on a cross-validation ideas, for multivariate kernel deconvolution estimator of the density of X. The proposed data-driven bandwidth selection method is shown to be asymptotically optimal. As a by-product of the proof of this result, we show that the average squared error, the integrated squared error, and the mean integrated squared error are asymptotically equivalent error measures.