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√n-uniformly consistent density estimation in nonparametric regression models
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DOI：10.1016/j.jeconom.2011.09.017.png)
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The paper introduces a root n-consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to calculate. A Monte Carlo experiment confirms our theoretical results. The results derived in the paper adapt general U-processes theory to the inclusion of infinite dimensional nuisance parameters. (C) 2011 Elsevier B.V. All rights reserved.
Keyword:
Density estimation
Kernel smoothing
U-processes
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4
论文数:
5.3K
被引数:
3.0W
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分享收藏分享收藏Uniformly root-N consistent density estimators for weakly dependent invertible linear processes.png)
ANNALS OF STATISTICS
OAAI
ANNALS OF STATISTICSIF3.7
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