A location-adaptive hybrid of the fixed-bandwidth kernel density estimate and the nearest-neighbor density estimate is introduced in this paper. It is constructed via a simple adhoc truncation and smoothing of nearest-neighbor distance. Simulations show that the hybrid outperforms its parent...

The excess-mass ellipsoid is the ellipsoid that maximizes the difference between its probability content and a constant multiple of its volume, over all ellipsoids. When an empirical distribution determines the probability content, the sample excess-mass ellipsoid is a random set that can be...

A model is developed for multivariate distributions which have nearly the same marginals, up to shift and scale. This model, based on "interpolation" of characteristic functions, gives a new notion of "correlation". It allows straightforward nonparametric estimation of the common marginal...