n-uniformly consistent density estimation in nonparametric regression models
AbstractThe paper introduces a 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 167 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/jeconom
Density estimation; Kernel smoothing; U-processes;
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