Consistent nonparametric estimation of error distributions in linear model

DOI10.1007/BF02005973MaRDI QIDQ1180503zbMATH OpenOpenAlexFDO

Authors Genxiang Chai, Zhu-Yu Li, Hong Tian

Publication date 27 June 1992

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02005973

zbMATH Keywords

consistencyestimation of error distributionslinear modelssimulations

Mathematics Subject Classification ID

Density estimation (62G07) Linear regression; mixed models (62J05)

Review text

Les auteurs construisent une méthode pour estimer la densité des erreurs dans un modèle de régression linéaire. La procédure est la suivante: d'abord on estime le paramètre du modèle par moindres carrés, en suite les résidus sont calculés et après ils sont utilisés pour construire un estimateur non paramétrique de la densité des erreurs. Ils montrent aussi que, sous certaines hypothèses pour la fenêtre d'estimations, il y a de la consistance faible, forte et uniforme selon le cas. Le travail fini avec un étude de simulation.

Recommendations

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Cites work

• Almost sure convergence of nonparametric regression estimates
• Approximation Theorems of Mathematical Statistics
• scientific article; zbMATH DE number 3671500 (Why is no real title available?)
• Robust regression: Asymptotics, conjectures and Monte Carlo

Cited in

(8)

• RCV-based error density estimation in the ultrahigh dimensional additive model
• scientific article; zbMATH DE number 3930028 (Why is no real title available?)
• Asymptotic normality of Powell's kernel estimator
• Strong uniform consistency and asymptotic normality of a kernel based error density estimator in functional autoregressive models
• A multi-step kernel–based regression estimator that adapts to error distributions of unknown form
• Non-parametric estimation in contaminated linear model
• Revisiting the estimation of the error density in functional autoregressive models
• Consistent estimation for some nonlinear errors-in-variables models

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