A note on kernel density estimation for non-negative random variables

Kernel-based density estimation algorithms are inefficient in presence of discontinuities at support endpoints. This is substantially due to the fact that classic kernel density estimators lead to positive estimates beyond the endpoints. If a nonparametric estimate of a density functional is required in determining the bandwidth, then the problem also affects the bandwidth selection procedure. In this paper algorithms for bandwidth selection and kernel density estimation are proposed for non-negative random variables. Furthermore, the methods we propose are compared with some of the principal solutions in the literature through a simulation study. © Springer-Verlag 2001.