Statistical inference for conditional curves: Poisson process approach

DOI10.1214/AOS/1176348656MaRDI QIDQ1193350zbMATH OpenOpenAlexFDO

Authors Michael Falk, Rolf-Dieter Reiss

Publication date 27 September 1992

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176348656

zbMATH Keywords

approximation errorasymptotic normalityconditional \(V\)-statisticsconditional curvesconditional distributionconditional quantilesestimation of regression meansfunctional parameterHellinger distancenonparametric regressionPoisson approximation of truncated, empirical point processesprojection pursuitregression functionalsregression quantilesunified treatment

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Linear inference, regression (62J99)

Review text

The aim of this paper is to present a unified treatment of conditional statistical problems, to some extent. On the basis of an approximation of a truncated, empirical point process by a suitable Poisson point process with the same intensity measure the investigation of asymptotic properties of estimates of functionals of the conditional distribution function is reduced to the study of a corresponding unconditional problem. The approximation error is characterized by bounds of the Hellinger distance between the distributions of the considered processes. This new method of statistical inference for conditional curves is exemplified by the proof of the asymptotic normality of well-known nonparametric estimates of regression, conditional quantiles, the conditional distribution function itself and conditional \(V\)-statistics. Finally, the projection pursuit technique is indicated in another example.

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