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Smoothed kernel conditional density estimation

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  • Wen, Kuangyu
  • Wu, Ximing

Abstract

Given multiple Y observations for each observed X, we propose a conditional kernel density estimator that exploits smoothing of f(y|x) across x. We obtain large sample properties of the proposed estimator and present a practical cross validation bandwidth selector. An application to adult BMI densities conditional on age is provided.

Suggested Citation

  • Wen, Kuangyu & Wu, Ximing, 2017. "Smoothed kernel conditional density estimation," Economics Letters, Elsevier, vol. 152(C), pages 112-116.
    • Handle: RePEc:eee:ecolet:v:152:y:2017:i:c:p:112-116
    DOI: 10.1016/j.econlet.2017.01.008
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    References listed on IDEAS

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    1. Peter Hall & Jeff Racine & Qi Li, 2004. "Cross-Validation and the Estimation of Conditional Probability Densities," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 1015-1026, December.
    2. Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics.
    3. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
    4. Jason Abrevaya & Hongfei Tang, 2011. "Body mass index in families: spousal correlation, endogeneity, and intergenerational transmission," Empirical Economics, Springer, vol. 41(3), pages 841-864, December.
    5. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
    6. 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.
    7. Yichen Gao & Yu Zhang & Ximing Wu, 2015. "Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index," Empirical Economics, Springer, vol. 48(1), pages 61-81, February.
    8. Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176, May.
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    Cited by:

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    3. Aouicha, Lamia & Messaci, Fatiha, 2019. "Kernel estimation of the conditional density under a censorship model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 173-180.

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    More about this item

    Keywords

    Conditional density estimation; Bandwidth selection; Body mass index;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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