On Local Likelihood Density Estimation When the Bandwidth Is Large

In this paper, we provide a large bandwidth analysis for a class of local likelihood methods. This work complements the small bandwidth analysis of Park, Kim and Jones (2002). Our treatment is more general than the large bandwidth analysis of Eguchi and Copas (1998). We provide a higher order asymptotic analysis for the risk of the local likelihood density estimator, from which a direct comparison between various versions of local likelihood can be made. The present work, being combined with the small bandwidth results of Park et al. (2002), gives an optimal size of the bandwidth which depends on the degree of departure of the underlying density from the proposed parametric model. AMS 2000 subject classifications. Primary 62G07; secondary 62G20.