Normal approximation in regression

DOI10.1016/0047-259X(91)90007-OMaRDI QIDQ1182748zbMATH OpenFDO

Authors Alan H. Welsh, Peter Hall

Publication date 28 June 1992

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

Full work available at URL https://doi.org/10.1016/0047-259X(91)90007-O

zbMATH Keywords

algebraic moment condition on the errorsfunction estimationgeneral multivariate explanatory variablesNadaraya-Watson kernel estimatornonparametric regressionnormal approximationrate of convergenceuniform strong approximation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Asymptotic distribution theory in statistics (62E20) Density estimation (62G07)

Review text

We obtain a uniform strong approximation for the distribution of a Nadaraya-Watson kernel estimator of a regression function. The approximation is obtained for general multivariate explanatory variables under an algebraic moment condition on the errors. A stronger rate of convergence result for the normal approximation is obtained at the expense of stronger moment conditions. We use the strong approximation results to derive a normal approximation to the distribution of the fitted values from the model.

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Cites work

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• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
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Cited in

(4)

• Equivariant estimation functions and normal distribution assumption for the model of linear regression
• The approximate distribution of nonparametric regression estimates
• Overshoot in the Case of Normal Variables
• Normal probability plots with confidence for the residuals in linear regression

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