Mean integrated squared error (scaled by 104) estimated as the average over 100 realisations for the test cases in Table 3.

For test cases 14 and 15, the semiparametric estimators allow for logarithmic boundary terms at any boundary point. The best method is indicated in bold. For test cases 9 and 10, the diffusion estimators are unstable; for test cases 4, 8 and 11, they give reasonable density estimates in most realisations but are unstable in some realisations. See S3 Appendix for further explanation.