Finite sample properties of an adaptive density estimator

Finite sample properties for the adaptive density estimator, studied in e.g. [1], are given. Our approach is numerical and also allows the meaning of the sensitivity parameter, alpha, to be studied for different densities. The performance of the adaptive density estimator is compared to the kernel density estimator and the estimator by Hjort and Glad given in [2] for the normal mixture truths introduced in [3]. Our results confirm that the adaptive density estimator is a good estimator in many cases and that the choice alpha = 0.5 frequently is a good one.