Estimating functionals of the error distribution in parametric and nonparametric regression

DOI10.1080/10485250310001624846zbMath1072.62030OpenAlexW2012222861MaRDI QIDQ4831091

Anton Schick, Ursula U. Müller, Wolfgang Wefelmeyer

Publication date: 20 December 2004

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250310001624846

zbMATH Keywords

Constrained ModelEfficient Influence Functioni.i.d RepresentationLocal Polynomial SmootherPlug-in Estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Specification tests in nonparametric regression ⋮ A bootstrap version of the residual-based smooth empirical distribution function ⋮ Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band ⋮ Functional convergence and optimality of plug-in estimators for stationary densities of moving average processes ⋮ Some developments in semiparametric statistics ⋮ Empirical likelihood estimators for the error distribution in nonparametric regression models ⋮ Goodness-of-fit tests for parametric regression with selection biased data

Cites Work

• Unnamed Item
• Adapting for heteroscedasticity in linear models
• Asymptotic behavior of the empiric distribution of M-estimated residuals from a regression model with many parameters
• Estimation of heteroscedasticity in regression analysis
• A note on the construction of asymptotically linear estimators
• The empirical distribution function of residuals from generalised regression
• Improving weighted least-squares estimates in heteroscedastic linear regression when the variance is a function of the mean response
• On efficient estimation in regression models
• Testing for superiority among two regression curves
• Estimating linear functionals of the error distribution in nonparametric regression
• Weighted empirical processes in dynamic nonlinear models.
• Nonparametric quasi-likelihood
• Estimating the innovation distribution in nonlinear autoregressive models
• Empirical process of residuals for high-dimensional linear models
• Quasi-likelihood models and optimal inference
• Non-parametric Estimation of the Residual Distribution
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Nonparametric estimating equations based on a penalized information criterion
• On Quasi Likelihood Equations with Non-parametric Weights
• A characterization of limiting distributions of regular estimates
• Asymptotic Behavior of Wilcoxon Type Confidence Regions in Multiple Linear Regression
• Some Convergence Theorems for Ranks and Weighted Empirical Cumulatives

This page was built for publication: Estimating functionals of the error distribution in parametric and nonparametric regression