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Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities

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Author Info
Kyoo il Kim () (School of Economics and Social Sciences, Singapore Management University)

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Abstract

This paper studies the uniform convergence rate of the turncated SNP (semi-nonparametric) density estimator. Using the uniform convergence rate result we obtain, we propose a test statistic testing the equivalence of two unknown densities where two densities are estimated using the SNP estimator and supports of densities are possibly unbounded.

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Publisher Info
Paper provided by Singapore Management University, School of Economics in its series Working Papers with number 20-2006.

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Length: 35 pages
Date of creation: Sep 2006
Date of revision:
Publication status: Published in SMU Economics and Statistics Working Paper Series
Handle: RePEc:siu:wpaper:20-2006

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Related research
Keywords: SNP Density Estimator; Uniform Convergence Rate; Comparison of Two Densities;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions

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References listed on IDEAS
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  1. Fenton, Victor M & Gallant, A Ronald, 1996. "Convergence Rates of SNP Density Estimators," Econometrica, Econometric Society, vol. 64(3), pages 719-27, May. [Downloadable!] (restricted)
  2. Qi Li, 1996. "Nonparametric testing of closeness between two unknown distribution functions," Econometric Reviews, Taylor and Francis Journals, vol. 15(3), pages 261-274. [Downloadable!] (restricted)
  3. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December. [Downloadable!] (restricted)
  4. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 437-53, May. [Downloadable!] (restricted)
  5. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  6. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September. [Downloadable!] (restricted)
  7. Gallant, A Ronald & Nychka, Douglas W, 1987. "Semi-nonparametric Maximum Likelihood Estimation," Econometrica, Econometric Society, vol. 55(2), pages 363-90, March. [Downloadable!] (restricted)
  8. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July. [Downloadable!] (restricted)
  9. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September. [Downloadable!] (restricted)
  10. repec:cup:etheor:v:7:y:1991:i:3:p:307-40 is not listed on IDEAS
  11. Eastwood, Brian J. & Gallant, A. Ronald, 1991. "Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 7(03), pages 307-340, September. [Downloadable!]
  12. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February. [Downloadable!] (restricted)
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