# Working paper

## Generalised empirical likelihood-based kernel density estimation

Abstract:
If additional information about the distribution of a random variable is available in the form of moment conditions, a weighted kernel density estimate reflecting the extra information can be constructed by replacing the uniform weights with the generalised empirical likelihood probabilities. It is shown that the resultant density estimator provides an improved approximation to the moment constraints. Moreover, a reduction in variance is achieved due to the systematic use of the extra moment information.
Publication status:
Published

### Access Document

Files:
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### Authors

Publisher:
University of Oxford Publisher's website
Series:
Department of Economics Discussion Paper Series
Publication date:
2013-07-02
Paper number:
662
Keywords:
Pubs id:
514996
Local pid:
pubs:514996
Deposit date:
2020-12-14