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Data were simulated from normal, lognormal, and gamma distributions with sample sizes of (30, 30, 30), (50, 50, 50), (100, 100, 100), and (200, 200, 200). Point estimates of were obtained using a kernel-based estimate and an empirical estimate. Mean squared errors were estimated for both estimators. The kernel-based estimator had smaller MSE than the empirical estimator for all explored distributions and sample sizes.
