All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

David Jacho-Chávez
''k nearest-neighbor estimation of inverse density weighted expectations''
( 2008, Vol. 3 No.48 )
This letter considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-Nearest Neighbor method. L²-consistency is established. The proposed estimator is also shown to be asymptotically semiparametric efficient. Some limited Monte Carlo experiments show that the proposed estimator performs as good as alternative methods in finite sample applications.
Keywords: Nearest neighbor
C1 - Econometric and Statistical Methods: General
Manuscript Received : Aug 21 2008 Manuscript Accepted : Aug 21 2008

  This abstract has been downloaded 435 times                The Full PDF of this paper has been downloaded 87765 times