Weighted uniform consistency of kernel density estimators
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Let f_n denote a kernel density estimator of a continuous density f in d dimensions, bounded and positive. Let \Psi(t) be a positive continuous function such that \|\Psi f^{\beta}\|_{\infty}<\infty for some 0<\beta<1/2. Under natural smoothness conditions, necessary and sufficient conditions for the sequence \sqrt\frac{nh_n^d}{2|\log h_n^d|}\|\Psi(t)(f_n(t)-Ef_n(t))\|_{\infty} to be stochastically bounded and to converge a.s. to a constant are obtained. Also, the case of larger values of \beta is studied where a similar sequence with a different norming converges a.s. either to 0 or to +\infty, depending on convergence or divergence of a certain integral involving the tail probabilities of \Psi(X). The results apply as well to some discontinuous not strictly positive densities.
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