Uniform confidence bands in deconvolution with unknown error distribution
نویسندگان
چکیده
منابع مشابه
Uniform Confidence Bands in Deconvolution with Unknown Error Distribution
This paper develops a method to construct confidence bands in deconvolution when the error distribution is unknown. We work with the case where an auxiliary sample from the error distribution is available and the error density is ordinary smooth. The construction is based upon the “intermediate” Gaussian approximation and the Gaussian multiplier bootstrap, but not on explicit limit distribution...
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We consider the problem of estimating a density fX using a sample Y1,. .. , Yn from fY = fX ⋆ fǫ, where fǫ is an unknown density. We assume that an additional sample ǫ1,. .. , ǫm from fǫ is observed. Estimators of fX and its derivatives are constructed by using non-parametric estimators of fY and fǫ and by applying a spectral cutoff in the Fourier domain. We derive the rate of convergence of th...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2018
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.07.001