Background: Kernel Density Estimators (KDE), given $n$ i.i.d. samples of a random variable $X$, and when chosen with the appropriate window size $h^*$, have an asymptotic mean square integrated error (AMISE) of between $n^{-1}$ to $n^{-4/5}$, depending on the smoothness properties of the PDF of $X$, denoted by $p$.

My question: Is there an equivalent result in the $L^1$ norm/ total variation. In other words, what can be said on $E_{X_1, \ldots ,X_n} \left[\|\hat{p}_{\rm kde} - p\|_1 \right] $? What is the asymptotic optimal rate of its convergence?

Total variation and $L^1$ : Although this is not the standard definition of TV, it is well known that for two densities $p$ and $q$, $\frac{1}{2}\|p-q \|_{\rm TV} = \|p-q\|_1 :\,= \int\limits_{\mathbb{R}} |p(y)-q(y)| \, dy $. See e.g, here

Motivation: In simulations, I observe that the asymptotic $L^1$ distance is $\approx n^{-0.3}$, but I'm not sure whether that an implementation problem or the actual result.


1 Answer 1


The short answer, broadly speaking, is that if the PDF $p$ is $s$ times differentiable, the lower bound on the expectency of $\|p-\hat{p}_{\rm kde} \|_1$ is $n^{-\frac{s}{2s+1}}$, which means that for an analytic PDF, we approach $n^{-\frac{1}{2}}$.

I owe this answer to the wonderful textbook - "Nonparametric Density Estimation - The L1 View" by Devroye and Gyorfi, which was made online by the authors here.


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