Correction locale de l'estimateur à noyau de la densité d'une loi de probabilité

The standard Parzen‐Rosenblatt kernel density estimator is known to systematically deviate from the true value near critical points of the density curve. To overcome this difficulty, we extend the Rao‐Blackwell method by using locally sufficient statistics: we define a new estimator and study its asymptotic behaviour. The interest of the method is shown by means of simulations.