lpdensity: Local Polynomial Density Estimation and Inference

Matias D. Cattaneo, Michael Jansson, Xinwei Ma

Research output: Contribution to journalArticlepeer-review

Abstract

Density estimation and inference methods are widely used in empirical work. When the underlying distribution has compact support, conventional kernel-based density estimators are no longer consistent near or at the boundary because of their well-known boundary bias. Alternative smoothing methods are available to handle boundary points in density estimation, but they all require additional tuning parameter choices or other typically ad hoc modifications depending on the evaluation point and/or approach considered. This article discusses the R and Stata package lpdensity implementing a novel local polynomial density estimator proposed and studied in Cattaneo, Jansson, and Ma (2020, 2022), which is boundary adaptive and involves only one tuning parameter. The methods implemented also cover local polynomial estimation of the cumulative distribution function and density derivatives. In addition to point estimation and graphical procedures, the package offers consistent variance estimators, mean squared error optimal bandwidth selection, robust bias-corrected inference, and confidence bands construction, among other features. A comparison with other density estimation packages available in R using a Monte Carlo experiment is provided.

Original languageEnglish (US)
Pages (from-to)1-25
Number of pages25
JournalJournal of Statistical Software
Volume101
Issue number2
DOIs
StatePublished - 2022

All Science Journal Classification (ASJC) codes

  • Software
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Bandwidth selection
  • Bias correction
  • Boundary carpentry
  • Density estimation
  • Kernel-based nonparametrics
  • Local polynomial
  • R.Stata
  • Robust inference

Fingerprint

Dive into the research topics of 'lpdensity: Local Polynomial Density Estimation and Inference'. Together they form a unique fingerprint.

Cite this