Conditional density estimation with covariate measurement error
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Publication:109282
DOI10.1214/20-EJS1688zbMATH Open1439.62101arXiv2001.02673OpenAlexW3008719988MaRDI QIDQ109282FDOQ109282
Authors: Xianzheng Huang, Haiming Zhou, Xianzheng Huang, Haiming Zhou 
Publication date: 1 January 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We consider estimating the density of a response conditioning on an error-prone covariate. Motivated by two existing kernel density estimators in the absence of covariate measurement error, we propose a method to correct the existing estimators for measurement error. Asymptotic properties of the resultant estimators under different types of measurement error distributions are derived. Moreover, we adjust bandwidths readily available from existing bandwidth selection methods developed for error-free data to obtain bandwidths for the new estimators. Extensive simulation studies are carried out to compare the proposed estimators with naive estimators that ignore measurement error, which also provide empirical evidence for the effectiveness of the proposed bandwidth selection methods. A real-life data example is used to illustrate implementation of these methods under practical scenarios. An R package, lpme, is developed for implementing all considered methods, which we demonstrate via an R code example in Appendix H.
Full work available at URL: https://arxiv.org/abs/2001.02673
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Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)
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