Pointwise Improvement of Multivariate Kernel Density Estimates

Multivariate kernel density estimators are known to systematically deviate from the true value near critical points of the density surface. To overcome this difficulty a method based on Rao–Blackwellʹs theorem is proposed. Local corrections of kernel density estimators are achieved by conditioning these estimators with respect to locally sufficient statistics. The asymptotic as well as the small sample size behavior of the improved estimators are studied. Asymptotic bias and variance are investigated and weak and complete consistency are derived under mild hypothesis.