Uniform in bandwidth consistency of kernel-type function estimators

DOI10.1214/009053605000000129MaRDI QIDQ2569245zbMATH OpenOpenAlexFDO

Authors Uwe Einmahl, David M. Mason

Publication date 18 October 2005

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

Full work available at URL https://arxiv.org/abs/math/0507431

zbMATH Keywords

strong consistencydensity estimationnonparametric regressionempirical processesuniform consistency w.r.t. bandwidth

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Strong limit theorems (60F15)

Abstract: We introduce a general method to prove uniform in bandwidth consistency of kernel-type function estimators. Examples include the kernel density estimator, the Nadaraya-Watson regression estimator and the conditional empirical process. Our results may be useful to establish uniform consistency of data-driven bandwidth kernel-type function estimators.

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