Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
AbstractWe suggest two new methods for conditional density estimation. The first is based on locally fitting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always produce non-negative estimators. We propose an algorithm suitable for selecting the two bandwidths for either estimator. We also develop a new bootstrap test for the symmetry of conditional density functions. The proposed methods are illustrated by both simulation and application to a real data set.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 17/98.
Length: 15 pages
Date of creation: 1998
Date of revision:
Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
- Bashtannyk, D.M. & Hyndman, R.J., 1998.
"Bandwidth Selection for Kernel Conditional Density Estimation,"
Monash Econometrics and Business Statistics Working Papers
16/98, Monash University, Department of Econometrics and Business Statistics.
- Bashtannyk, David M. & Hyndman, Rob J., 2001. "Bandwidth selection for kernel conditional density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 36(3), pages 279-298, May.
- Hall, Peter & Wolff, Rodney C. L. & Yao, Qiwei, 1999. "Methods for estimating a conditional distribution function," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
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