• Journal of the Korean Data and Information Science Society
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• v.3 no.1
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• pp.17-24
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• 1992

The problem of estimating symmetric probability density with high kurtosis is considered. Such densities are often estimated poorly by a global bandwidth kernel estimation since good estimation of the peak of the distribution leads to unsatisfactory estimation of the tails and vice versa. In this paper, we propose a transformation technique before using a global bandwidth kernel estimator. Performance of density estimator based on proposed transformation is investigated through simulation study. It is observed that our method offers a substantial improvement for the densities with high kurtosis. However, its performance is a little worse than that of ordinary kernel estimator in the situation where the kurtosis is not high.