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Density deconvolution from repeated measurements without symmetry assumption on the errors

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  • Comte, Fabienne
  • Kappus, Johanna

Abstract

We consider deconvolution from repeated observations with unknown error distribution. Until now, this model has mostly been studied under the additional assumption that the errors are symmetric.

Suggested Citation

  • Comte, Fabienne & Kappus, Johanna, 2015. "Density deconvolution from repeated measurements without symmetry assumption on the errors," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 31-46.
    • Handle: RePEc:eee:jmvana:v:140:y:2015:i:c:p:31-46
    DOI: 10.1016/j.jmva.2015.04.004
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    References listed on IDEAS

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    1. Stéphane Bonhomme & Jean-Marc Robin, 2010. "Generalized Non-Parametric Deconvolution with an Application to Earnings Dynamics," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 491-533.
    2. Fabienne Comte & Adeline Samson & Julien J Stirnemann, 2014. "Deconvolution Estimation of Onset of Pregnancy with Replicate Observations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 325-345, June.
    3. Stefanski, Leonard A., 1990. "Rates of convergence of some estimators in a class of deconvolution problems," Statistics & Probability Letters, Elsevier, vol. 9(3), pages 229-235, March.
    4. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
    5. Li, Tong & Vuong, Quang, 1998. "Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 139-165, May.
    6. Ibragimov, Rustam & Sharakhmetov, Shaturgun, 2002. "The exact constant in the Rosenthal inequality for random variables with mean zero," Scholarly Articles 2623703, Harvard University Department of Economics.
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    Cited by:

    1. Adusumilli, Karun & Kurisu, Daisuke & Otsu, Taisuke & Whang, Yoon-Jae, 2020. "Inference on distribution functions under measurement error," Journal of Econometrics, Elsevier, vol. 215(1), pages 131-164.
    2. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2022. "Estimation of varying coefficient models with measurement error," Journal of Econometrics, Elsevier, vol. 230(2), pages 388-415.
    3. Hao Dong & Taisuke Otsu, 2018. "Nonparametric Estimation of Additive Model with Errors-in-Variables," STICERD - Econometrics Paper Series 600, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2021. "Average Derivative Estimation Under Measurement Error," Econometric Theory, Cambridge University Press, vol. 37(5), pages 1004-1033, October.
    5. Hao Dong & Yuya Sasaki, 2022. "Estimation of average derivatives of latent regressors: with an application to inference on buffer-stock saving," Departmental Working Papers 2204, Southern Methodist University, Department of Economics.
    6. Kurisu, Daisuke & Otsu, Taisuke, 2022. "On linearization of nonparametric deconvolution estimators for repeated measurements model," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    7. Kurisu, Daisuke & Otsu, Taisuke, 2022. "On linearization of nonparametric deconvolution estimators for repeated measurements model," LSE Research Online Documents on Economics 112676, London School of Economics and Political Science, LSE Library.
    8. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    9. Karun Adusumilli & Taisuke Otsu, 2015. "Nonparametric instrumental regression with errors in variables," STICERD - Econometrics Paper Series /2015/585, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    10. Daisuke Kurisu & Taisuke Otsu, 2021. "On linearization of nonparametric deconvolution estimators for repeated measurements model," STICERD - Econometrics Paper Series 615, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Kurisu, Daisuke & Otsu, Taisuke, 2022. "On the uniform convergence of deconvolution estimators from repeated measurements," LSE Research Online Documents on Economics 107533, London School of Economics and Political Science, LSE Library.
    12. Daisuke Kurisu & Taisuke Otsu, 2019. "On the uniform convergence of deconvolution estimators from repeated measurements," STICERD - Econometrics Paper Series 604, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Adusumilli, Karun & Kurisu, Daisies & Otsu, Taisuke & Whang, Yoon-Jae, 2020. "Inference on distribution functions under measurement error," LSE Research Online Documents on Economics 102692, London School of Economics and Political Science, LSE Library.

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