Estimating the error distribution function in nonparametric regression

2018/10/03 by Müller, Ursula U., Schick, Anton, Wefelmeyer, Wolfgang
#62G05 #62G08 #62G20 #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1810.01645

Abstract

We construct an efficient estimator for the error distribution function of the nonparametric regression model Y = r(Z) + e. Our estimator is a kernel smoothed empirical distribution function based on residuals from an under-smoothed local quadratic smoother for the regression function.

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