Some thoughts on the asymptotics of the deconvolution kernel density estimator

Via a simulation study we compare the finite sample performance of the deconvolution kernel density estimator in the supersmooth deconvolution problem to its asymptotic behaviour predicted by two asymptotic normality theorems. Our results indicate that for lower noise levels and moderate sample sizes the match between the asymptotic theory and the finite sample performance of the estimator is not satisfactory. On the other hand we show that the two approaches produce reasonably close results for higher noise levels. These observations in turn provide additional motivation for the study of deconvolution problems under the assumption that the error term variance σ → 0 as the sample size n → ∞.