Nonparametric ``regression when errors are positioned at end-points

DOI10.3150/08-BEJ173zbMATH Open1200.62036arXiv0909.0823MaRDI QIDQ605015FDOQ605015

Authors: Ingrid Van Keilegom, Peter Hall 

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Increasing practical interest has been shown in regression problems where the errors, or disturbances, are centred in a way that reflects particular characteristics of the mechanism that generated the data. In economics this occurs in problems involving data on markets, productivity and auctions, where it can be natural to centre at an end-point of the error distribution rather than at the distribution's mean. Often these cases have an extreme-value character, and in that broader context, examples involving meteorological, record-value and production-frontier data have been discussed in the literature. We shall discuss nonparametric methods for estimating regression curves in these settings, showing that they have features that contrast so starkly with those in better understood problems that they lead to apparent contradictions. For example, merely by centring errors at their end-points rather than their means the problem can change from one with a familiar nonparametric character, where the optimal convergence rate is slower than $n^{-1/2}$, to one in the super-efficient class, where the optimal rate is faster than $n^{-1/2}$. Moreover, when the errors are centred in a non-standard way there is greater intrinsic interest in estimating characteristics of the error distribution, as well as of the regression mean itself. The paper will also address this aspect of the problem.

Full work available at URL: https://arxiv.org/abs/0909.0823

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zbMATH Keywords

nonparametric regressionsmoothingkernelbandwidthcurve estimationjump discontinuitysuper efficiencyextreme-value theorylocal linear methodslocal polynomial methods

Mathematics Subject Classification ID

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

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Cited In (8)

• Extremal quantile treatment effects
• Recursive max-linear models with propagating noise
• Semi-parametric transformation boundary regression models
• Asymptotic equivalence for nonparametric regression with non-regular errors
• Irregular nonparametric autoregression
• Testing for linearity in boundary regression models with application to maximal life expectancies
• Partial identification of functionals of the joint distribution of ``potential outcomes
• Estimation and hypotheses testing in boundary regression models

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