@inproceedings{Hengartner2009AsymptoticUD,
title={Asymptotic Unbiased Density Estimators},
author={Nicolas W. Hengartner and {\'E}ric Matzner-L\ober},
year={2009}
}

This paper introduces a computationally tractable density estimator that has the same asymptotic variance as the classical Nadaraya-Watson density estimator but whose asymptotic bias is zero. We achieve this result using a two stage estimator that applies a multiplicative bias correction to an oversmooth pilot estimator. Simulations show that our asymptotic results are available for samples as low as n = 50, where we see an improvement of as much as 20% over the traditionnal estimator… CONTINUE READING