A note on efficient density estimators of convolutions

It is already known that the convolution of a bounded density with itself can be estimated at the root-n rate using the two asymptotically equivalent kernel estimators: (i) Frees estimator (Frees, 1994) and (ii) Saavedra and Cao estimator (Saavedra and Cao, 2000). In this work, we investigate the efficiency of these estimators of the convolution of a bounded density. The efficiency criterion used in this work is that of a least dispersed regular estimator described in Begun et al. (1983). This concept is based on the Hájek–Le Cam convolution theorem for locally asymptotically normal (LAN) families.