Asymptotic theory for estimation of error distribution in linear model

MaRDI QIDQ2367855zbMATH OpenFDO

Authors Genxiang Chai, Zhu-Yu Li

Publication date 16 August 1993

Published in Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitycommon unknown density of the error distributionL1-norm consistencylaw of iterated logarithmnonparametric regressionpointwise consistencyresiduals

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Review text

For linear i.i.d regression models a nonparametric estimator for the common unknown density of the error distribution based on the residuals is considered. Some properties of this estimator are established, as the pointwise and \(L_ 1\)-norm consistency, asymptotic normality, and the law of iterated logarithm.

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