Asymptotic unbiased density estimator

International audienceThis 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. Mathematics Subject Classification. 62G07, 62G20