Unified treatment of the asymptotics of asymmetric kernel density estimators

Abstract: We extend balloon and sample-smoothing estimators, two types of variable-bandwidth kernel density estimators, by a shift parameter and derive their asymptotic properties. Our approach facilitates the unified study of a wide range of density estimators which are subsumed under these two general classes of kernel density estimators. We demonstrate our method by deriving the asymptotic bias, variance, and mean (integrated) squared error of density estimators with gamma, log-normal, Birnbaum-Saunders, inverse Gaussian and reciprocal inverse Gaussian kernels. We propose two new density estimators for positive random variables that yield properly-normalised density estimates. Plugin expressions for bandwidth estimation are provided to facilitate easy exploratory data analysis.