√n-uniformly consistent density estimation in nonparametric regression models

被引：19

作者：

Escanciano, Juan Carlos ^{[2
]}

Jacho-Chavez, David T. ^{[1
]}

机构：

[1] Emory Univ, Dept Econ, Atlanta, GA 30322 USA

[2] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA

来源：

JOURNAL OF ECONOMETRICS | 2012年 / 167卷 / 02期

关键词：

Density estimation; Kernel smoothing; U-processes; SEMIPARAMETRIC ESTIMATION; MARGINAL DENSITY; CONVERGENCE; CHOICE; RATES;

D O I：

10.1016/j.jeconom.2011.09.017

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper introduces a root n-consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to calculate. A Monte Carlo experiment confirms our theoretical results. The results derived in the paper adapt general U-processes theory to the inclusion of infinite dimensional nuisance parameters. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：305 / 316

页数：12

共 50 条

[31] Nonparametric estimation of the mixing distribution in logistic regression mixed models with random intercepts and slopes
Lesperance, Mary
Saab, Rabih
Neuhaus, John
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2014, 71 : 211 - 219
[32] On density and regression estimation with incomplete data
Mojirsheibani, Majid
Manley, Kevin
Pouliot, William
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (23) : 11688 - 11711
[33] Bayesian nonparametric regression with varying residual density
Pati, Debdeep
Dunson, David B.
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2014, 66 (01) : 1 - 31
[34] NONPARAMETRIC ESTIMATION OF REGRESSION FUNCTIONS WITH DISCRETE REGRESSORS
Ouyang, Desheng
Li, Qi
Racine, Jeffrey S.
ECONOMETRIC THEORY, 2009, 25 (01) : 1 - 42
[35] ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION
Breunig, Christoph
Johannes, Jan
ECONOMETRIC THEORY, 2016, 32 (03) : 612 - 654
[36] Nonparametric robust regression estimation for censored data
Lemdani, Mohamed
Said, Elias Ould
STATISTICAL PAPERS, 2017, 58 (02) : 505 - 525
[37] Nonparametric recursive regression estimation on Riemannian Manifolds
Khardani, Salah
Yao, Anne Francoise
STATISTICS & PROBABILITY LETTERS, 2022, 182
[38] On the estimation of a monotone conditional variance in nonparametric regression
Dette, Holger
Pilz, Kay
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2009, 61 (01) : 111 - 141
[39] Adaptive estimation in the functional nonparametric regression model
Chagny, Gaelle
Roche, Angelina
JOURNAL OF MULTIVARIATE ANALYSIS, 2016, 146 : 105 - 118
[40] Nonparametric Estimation in Random Coefficients Binary Choice Models
Gautier, Eric
Kitamura, Yuichi
ECONOMETRICA, 2013, 81 (02) : 581 - 607

← 1 2 3 4 5 →