Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

DOI10.1016/J.SPL.2016.04.009zbMATH Open1346.62057arXiv1610.08768OpenAlexW2346169506MaRDI QIDQ310620FDOQ310620

Justin Chown

Publication date: 8 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: A residual-based empirical distribution function is proposed to estimate the distribution function of the errors of a heteroskedastic nonparametric regression with responses missing at random based on completely observed data, and this estimator is shown to be asymptotically most precise.

Full work available at URL: https://arxiv.org/abs/1610.08768

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zbMATH Keywords

nonparametric regressionempirical distribution functionlocal polynomial smootherefficient estimatorheteroskedastictransfer principle

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cites Work

• Title not available (Why is that?)
• On efficient estimation in regression models
• Estimating the error distribution function in nonparametric regression with multivariate co\-var\-iates
• Estimating linear functionals of the error distribution in nonparametric regression
• Title not available (Why is that?)
• On efficient estimation in regression models with unknown scale functions
• Efficiently estimating the error distribution in nonparametric regression with responses missing at random
• Hands-on intermediate econometrics using R. Templates for extending dozens of practical examples
• Estimating the error distribution function in semiparametric regression
• The transfer principle: a tool for complete case analysis
• Estimating the error distribution in nonparametric multiple regression with applications to model testing

Cited In (3)

• Hypothesis tests in partial linear errors-in-variables models with missing response
• Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
• Efficiency for heteroscedastic regression with responses missing at random

Uses Software

• R

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