Estimating linear functionals of the error distribution in nonparametric regression
نویسندگان
چکیده
This paper addresses estimation of linear functionals of the error distribution in nonparametric regression models. It derives an i.i.d. representation for the empirical estimator based on residuals, using undersmoothed estimators for the regression curve. Asymptotic efficiency of the estimator is proved. Estimation of the error variance is discussed in detail. In this case, undersmoothing is not necessary. AMS 2000 subject classifications. Primary 62G05, 62G08, 62G20.
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