Estimation of the error density in a semiparametric transformation model

DOI10.1007/S10463-013-0441-XMaRDI QIDQ2255164zbMATHOpenAlexFDO

Authors Benjamin Colling, Cedric Heuchenne, Rawane Samb, Ingrid Van Keilegom

Publication date 6 February 2015

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.1846

zbMATH Keywords

density estimationnonparametric regressionprofile likelihoodtransformation modelKernel smoothing

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Abstract: Consider the semiparametric transformation model $Lambd{a}_{het{a}_o}(Y)=m(X)+epsilon$, where $het{a}_o$ is an unknown finite dimensional parameter, the functions $Lambd{a}_{het{a}_o}$ and $m$ are smooth, $epsilon$ is independent of $X$, and $esp(epsilon)=0$. We propose a kernel-type estimator of the density of the error $epsilon$, and prove its asymptotic normality. The estimated errors, which lie at the basis of this estimator, are obtained from a profile likelihood estimator of $het{a}_o$ and a nonparametric kernel estimator of $m$. The practical performance of the proposed density estimator is evaluated in a simulation study.

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Cited in

(10)

• Tests for validity of the semiparametric heteroskedastic transformation model
• Estimation of a semiparametric transformation model in the presence of endogeneity
• Goodness-of-fit tests in semiparametric transformation models
• Estimation of fully nonparametric transformation models
• Estimation of a semiparametric transformation model: a novel approach based on least squares minimization
• Goodness-of-fit tests in semiparametric transformation models using the integrated regression function
• Estimating the error distribution in semiparametric transformation models
• Testing the adequacy of semiparametric transformation models
• Tests for heteroskedasticity in transformation models
• Semiparametric linear transformation model with differential measurement error and validation sampling

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