Nonparametric estimation of the density of regression errors

DOI10.1016/J.CRMA.2011.10.017zbMATH Open1229.62048arXiv1108.1945OpenAlexW2014149244MaRDI QIDQ654555FDOQ654555

Authors: Rawane Samb 

Publication date: 28 December 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Abstract: Consider the nonparametric regression model Y=m(X)+E, where the function m is smooth but unknown, and E is independent of X. An estimator of the density of the error term E is proposed and its weak consistency is obtained. The contribution of this paper is twofold. First, we evaluate the impact of the estimation of the regression function on the error density estimator. Secondly, the optimal choices of the first and second step bandwidths used for estimating the regression function and the error density are proposed. Further, we investigate the asymptotic normality of the error density estimator and evaluate its performances in simulated examples.

Full work available at URL: https://arxiv.org/abs/1108.1945

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Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cited In (17)

• Residuals density estimation in nonparametric regression
• Estimation in Nonparametric Regression with Non-Regular Errors
• Consistency of error density and distribution function estimators in nonparametric regression.
• Nonparametric estimation of the density of the regression noise
• Estimating the conditional error distribution in non-parametric regression
• Estimation of the error density in a semiparametric transformation model
• Adaptive estimation of error density in nonparametric regression with small sample size
• Optimal nonparametric estimation of the density of regression errors with finite support
• Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density
• Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
• Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density
• Estimation of the density of regression errors
• A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
• Title not available (Why is that?)
• A convolution estimator for the density of nonlinear regression observations
• Bayesian bandwidth estimation for a functional nonparametric regression model with mixed types of regressors and unknown error density
• Estimation of the density of regression errors by pointwise model selection

Uses Software

• KernSmooth

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