Abstract
In this article, we develop a nonparametric estimator for the Hölder constant of a density function. We consider a simulation study to evaluate the performance of the proposal and construct smooth bootstrap confidence intervals. Also, we give a brief review over the impossibility to decide whether a density function is Hölder.
Acknowledgments
We wish to thank the anonymous referee for his/her valuable comments which led to an improved version of the original article. We would like to thank to Lucio Pantazis for his careful reading of the manuscript and for useful suggestions. This research was partially supported by Grants pip112-200801-00216 and 0592 from conicetand UBACYT 20020100300057 from the Universidad de Buenos Aires.