IDEAS home Printed from https://ideas.repec.org/a/qnt/quantl/y2008i4p57-69.html
   My bibliography  Save this article

Consequences of lack of smoothness in nonparametric estimation (in Russian)

Author

Listed:
  • Victoria Zinde-Walsh

    (McGill University, Canada)

Abstract

Nonparametric estimation is widely used in statistics and econometrics with many asymptotic results relying on smoothness of the underlying distribution, however, there are cases where such assumptions may not hold in practice. Lack of smoothness may have undesirable consequences such as an incorrect choice of window width, large estimation biases and incorrect inference. Optimal combinations of estimators based on different kernel/bandwidth can achieve automatically the best unknown rate of convergence. The combined estimator was successfully applied in density estimation, estimation of average derivatives and for smoothed maximum score in a binary choice model. In the extreme case when density does not exist the estimator "estimates" a non-existent function; nevertheless its limit process can be described in terms of generalized (in terms of generalized functions) Gaussian processes. Inference about existence of density and about its smoothness is not yet well developed; some preliminary results are discussed.

Suggested Citation

  • Victoria Zinde-Walsh, 2008. "Consequences of lack of smoothness in nonparametric estimation (in Russian)," Quantile, Quantile, issue 4, pages 57-69, March.
  • Handle: RePEc:qnt:quantl:y:2008:i:4:p:57-69
    as

    Download full text from publisher

    File URL: http://quantile.ru/04/04-VZ.pdf
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    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:qnt:quantl:y:2008:i:4:p:57-69. 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: (Stanislav Anatolyev). General contact details of provider: http://quantile.ru/ .

    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.

    We have no references for this item. You can help adding them by using 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.