¿n-uniformly consistent density estimation in nonparametric regression models Articles uri icon

publication date

  • April 2012

start page

  • 305

end page

  • 316

issue

  • 2

volume

  • 167

International Standard Serial Number (ISSN)

  • 0304-4076

Electronic International Standard Serial Number (EISSN)

  • 1872-6895

abstract

  • The paper introduces a √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.

subjects

  • Economics

keywords

  • density estimation; kernel smoothing; u-processes