Weighted log-normal kernel density estimation

ABSTRACT

The log-normal (LN) kernel estimator of a density with support [0, ∞) was discussed by Jin and Kawczak (2003 Jin, X., Kawczak, J. (2003). Birnbaum–Saunders and lognormal kernel estimators for modelling durations in high frequency financial data. Ann. Econ. Finance 4:103–124. [Google Scholar]). The contribution of this paper is to suggest a new class of LN kernel estimators using the idea of weighted distribution. The asymptotic properties of the new class of estimators are studied. Also, numerical studies based on both simulated and real data set are presented.