IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v101y2010i5p1043-1054.html
   My bibliography  Save this article

Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data

Author

Listed:
  • Liang, Han-Ying
  • Peng, Liang

Abstract

In this paper we derive the asymptotic normality and a Berry-Esseen type bound for the kernel conditional density estimator proposed in Ould-Saïd and Cai (2005) [26] when the censored observations with multivariate covariates form a stationary [alpha]-mixing sequence.

Suggested Citation

  • Liang, Han-Ying & Peng, Liang, 2010. "Asymptotic normality and Berry-Esseen results for conditional density estimator with censored and dependent data," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1043-1054, May.
  • Handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1043-1054
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(10)00008-4
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Masry, Elias, 2005. "Nonparametric regression estimation for dependent functional data: asymptotic normality," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 155-177, January.
    2. 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.
    3. 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.
    4. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
    5. Koehler, K. J. & Symanowski, J. T., 1995. "Constructing Multivariate Distributions with Specific Marginal Distributions," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 261-282, November.
    6. 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.
    7. 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.
    8. Polonik, Wolfgang & Yao, Qiwei, 2000. "Conditional minimum volume predictive regions for stochastic processes," LSE Research Online Documents on Economics 6311, London School of Economics and Political Science, LSE Library.
    9. Liebscher, Eckhard, 1996. "Strong convergence of sums of [alpha]-mixing random variables with applications to density estimation," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 69-80, December.
    10. Liebscher E., 2001. "Estimation Of The Density And The Regression Function Under Mixing Conditions," Statistics & Risk Modeling, De Gruyter, vol. 19(1), pages 9-26, January.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1043-1054. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.