scientific article; zbMATH DE number 176906
approximation errorasymptotic normality of kernel estimates of general regression functionalsasymptotically optimal estimatorsconditional curve estimationconditional distributionfunctional parameterHellinger distancelocal asymptotic normalityPoisson approximationPoisson processsemiparametric regressiontruncated empirical point process
[For the entire collection see Zbl 0755.00022.] Statistical inference from a sample \((X_ 1,Y_ 1,\dots,X_ n,Y_ n)\) for a functional parameter of the conditional distribution function \(F(.\mid x)\) of \(Y_ 1\) given \(X_ 1=x\) is obviously based on those \(Y_ i\) whose corresponding \(X_ i\)-values are close to \(x\). These data sets can be described by a truncated empirical point process. Using the Poisson approximation the authors replace this process by a Poisson process. The approximation error is characterized by bounds on the Hellinger distance between the distributions of the considered processes. The approximation entails that one can handle the relevant observations among the original sample like ideal observations whose stochastic behavior depends solely upon a few (unknown) parameters. This approach permits the application of standard methods to statistical questions concerning the original and typically nonparametric sample. In the present article it is demonstrated how this approach works in regression analysis; it is utilized to formulate results on the asymptotic normality of kernel estimates of general regression functionals and to derive asymptotically optimal estimators in the semiparametric setup.
- Statistical inference for conditional curves: Poisson process approach
- scientific article; zbMATH DE number 503314
- Asymptotics of conditional empirical processes
- Asymptotically optimal estimators of general regression functionals
- The asymptotic normality of linear functions of conditional order statistics
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