Locally parametric nonparametric density estimation

TL;DR

This paper introduces a locally parametric nonparametric density estimator that adapts between parametric and nonparametric methods using local likelihood, offering improved bias and variance properties.

Contribution

It develops a new semiparametric density estimation method combining local likelihood with kernel smoothing, enhancing flexibility and accuracy over traditional kernel methods.

Findings

Performs better than traditional kernel methods near parametric models.

Maintains similar variance to kernel methods, with potentially smaller bias.

Capable of approximating full likelihood estimation with large bandwidths.

Abstract

This paper develops a nonparametric density estimator with parametric overtones. Suppose $f(x,\theta)$ is some family of densities, indexed by a vector of parameters $\theta$. We define a local kernel smoothed likelihood function which for each $x$ can be used to estimate the best local parametric approximant to the true density. This leads to a new density estimator of the form $f(x,\hat\theta(x))$, thus inserting the best local parameter estimate for each new value of $x$. When the bandwidth used is large this amounts to ordinary full likelihood parametric density estimation, while for moderate and small bandwidths the method is essentially nonparametric, using only local properties of data and the model. Alternative ways more general than via the local likelihood are also described. The methods can be seen as ways of nonparametrically smoothing the parameter within a parametric class. Properties of this new semiparametric estimator are investigated. Our preferred version has approximately the same variance as the ordinary kernel method but potentially a smaller bias. The new method is seen to perform better than the traditional kernel method in a broad nonparametric vicinity of the parametric model employed, while at the same time being capable of not losing much in precision to full likelihood methods when the model is correct. Other versions of the method are equivalent to using particular higher order kernels in a semiparametric framework. The methodology we develop can be seen as the density estimation parallel to local likelihood and local weighted least squares theory in nonparametric regression.