Asymptotically optimal estimators of general regression functionals

DOI10.1006/JMVA.1993.1071MaRDI QIDQ689366zbMATH OpenOpenAlexFDO

Authors Michael Falk

Publication date 6 December 1993

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1993.1071

zbMATH Keywords

conditional distribution functionconditional medianconditional quantilesestimation of general regression functionalsgeneralization of the mean value functionalkernel type estimatorsoptimal rate of convergencePoisson process approachPoissonizationregression quantileweak convergence of the maximum error

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Review text

The estimation of general regression functionals is considered. These functionals are a generalization of the mean value functional and include in addition to the regression function the conditional distribution function, the conditional median and conditional quantiles as particular examples. For the mean value and quantile functional it is well known that the optimal rate of convergence, locally and globally, is achieved by kernel type estimators. The author states conditions under which kernel estimators of these general regression functionals achieve also this optimal asymptotic accuracy. The derivation of the optimality properties is based on a Poissonization argument, and the Poisson process approach leads to the proof of the weak convergence of the maximum error of the estimate over a compact interval.

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(12)

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• \(L_ 1\)-optimal estimates for a regression type function in \(R^ d\)
• Asymptotic normality of generalized functional estimators dependent on covariables
• Ridge reconstruction of partially observed functional data is asymptotically optimal
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• FUNCTIONAL ESTIMATION BY ASYMPTOTIC REGRESSION
• Generalized regression estimation for continuous time processes with values in functional spaces
• Some asymptotic theory for functional regression with stationary regressor
• Godambe estimating functions and asymptotic optimal inference
• Asymptotically efficient estimation of linear functionals in inverse regression models

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