Arbeitspapier
On Conditional Density Estimation
With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson smoother.Because the estimator is explicitly defined in terms ofthe data, its practical implementation is quite simple.With a detailed asymptotic analysis, we demonstratethat the RNW smoother preserves thesuperior large-sample bias property of thelocal linear smoother of the conditional densityproposed by Fan, Yao and Tong (1996).As a matter of independent statistical interest,the limit distribution of the RNW estimator is alsoderived.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 02-032/4
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
alpha-mixing
asymptotic properties
negativity
nonparametric
re-weighted
Schätztheorie
Theorie
Statistische Verteilung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
de Gooijer, Jan G.
Zerom, Dawit
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- de Gooijer, Jan G.
- Zerom, Dawit
- Tinbergen Institute
Entstanden
- 2002
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