Uniform in bandwidth consistency of kernel-type function estimators
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Publication:2569245
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.
The authors consider kernel estimators based on iid data in density and regression estimation. Their aim is to prove uniform consistency with rates, where uniformity is meant w.r. to the argument and the smoothing parameter. E.g., let \((X_i)_1^\infty\) be an iid sequence of random vectors following a d-dimensional bounded density \(f\,.\) Under some assumptions on the kernel it is shown that the estimator \(f_{n,h}(x)=(nh)^{-1} \sum_{k=1}^n K((x-X_k)/h^{1/d})\) satisfies with probability one \[ \limsup_{n \to \infty} \sup_{c \log n\,/n\leq h\leq 1}\frac{\sqrt{nh}\| \widehat{f}_{n,h}- E(\widehat{f}_{n,h})\| _\infty}{\sqrt{\log(1/h)\vee \log \log n}}= \kappa(c)<\infty. \] From this result one can, e.g., conclude consistency of estimators with data-driven bandwidths. Related results are shown for the Nadaraya-Watson estimator in regression and for an estimator for conditional distributions. One important tool for the proof is empirical process theory applied to the family of functions \({\mathcal K}=\{K(x-.)/h^{1/d})\), \(x \in {\mathbb R}^d\), \(h>0\}.\)
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