Optimal Asymmetric Kernels
9 Pages Posted: 15 Jan 2012
Date Written: 2004
Abstract
Kernels are typically justified as a smoothing device in nonparametric analysis. We provide alternative interpretations which could lead to the use of asymmetric kernels. We thus derive the class of optimal asymmetric kernels, and analyse its main properties. We illustrate numerically its optimality by showing how well it fares in locating the mode and tail quantiles of some common asymmetric densities.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Aggregation, Persistence and Volatility in a Macro Model
By Karim M. Abadir and Gabriel Talmain
-
By Cheng Hsiao, Yan Shen, ...
-
A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
By Larry G. Epstein and Angelo Melino
-
Depreciation Rates and Capital Stocks
By Karim M. Abadir and Gabriel Talmain
-
Autocovariance Functions of Series and of Their Transforms
By Karim M. Abadir and Gabriel Talmain
-
By Cheng Hsiao and Siyan Wang