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The Estimation of Conditional Densities

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  • Xiaohong Chen
  • Oliver Linton
  • Peter M Robinson

Abstract

We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and marginal density estimates. We point out the different implications of leading choices of bandwidths in numerator and denominator for the ability of the estimate to integrate to one and to have finite moments. Again bearing in mind different bandwidth possibilities, we discuss asymptotic theory for the estimate: asymptotic bias and variance are calculated under various conditions, an extended discussion of bandwidth choice is included, and a central limit theorem is given.

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File URL: http://sticerd.lse.ac.uk/dps/em/em415.pdf
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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2001/415.

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Date of creation: May 2001
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Handle: RePEc:cep:stiecm:/2001/415

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Conditional density estimation; serial dependence; bandwidth choice.;

References

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  1. Roussas, George G., 1991. "Recursive estimation of the transition distribution function of a Markov process: A symptotic normality," Statistics & Probability Letters, Elsevier, vol. 11(5), pages 435-447, May.
  2. Samanta, M., 1989. "Non-parametric estimation of conditional quantiles," Statistics & Probability Letters, Elsevier, vol. 7(5), pages 407-412, April.
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Cited by:
  1. Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
  2. Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
  3. Donata Favaro & Stefano Magrini, 2005. "Group versus individual discrimination among young workers: a distributional approach," Labor and Demography 0506003, EconWPA.
  4. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.

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