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On the weak convergence of kernel density estimators in Lp spaces
Authors:Gilles Stupfler
Institution:CERGAM, Aix Marseille Université, EA 4225, 13540 Puyricard, France
Abstract:Since its introduction, the pointwise asymptotic properties of the kernel estimator f?n of a probability density function f on ?d, as well as the asymptotic behaviour of its integrated errors, have been studied in great detail. Its weak convergence in functional spaces, however, is a more difficult problem. In this paper, we show that if fn(x)= /></span>(<i>f?</i><sub><i>n</i></sub>(<i>x</i>)) and (<i>r</i><sub><i>n</i></sub>) is any nonrandom sequence of positive real numbers such that <i>r</i><sub><i>n</i></sub>/√<i>n</i>→0 then if <i>r</i><sub><i>n</i></sub>(<i>f?</i><sub><i>n</i></sub>?<i>f</i><sub><i>n</i></sub>) converges to a Borel measurable weak limit in a weighted <i>L</i><sup><i>p</i></sup> space on ?<sup><i>d</i></sup>, with 1≤<i>p</i><∞, the limit must be 0. We also provide simple conditions for proving or disproving the existence of this Borel measurable weak limit.</td>
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Keywords:kernel density estimator  weak convergence  Lp space
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