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Abstract:
This article focuses on the conditional density of a scalar response variable given a random variable taking values in a semimetric space. The local linear estimators of the conditional density and its derivative are considered. It is assumed that the observations form a stationary -mixing sequence. Under some regularity conditions, the joint asymptotic normality of the estimators of the conditional density and its derivative is established. The result confirms the prospect in Rachdi etal. (2014) and can be applied in time-series analysis to make predictions and build confidence intervals. The finite-sample behavior of the estimator is investigated by simulations as well.
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Source :
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
ISSN: 0361-0926
Year: 2018
Issue: 14
Volume: 47
Page: 3418-3440
0 . 4 2 4
JCR@2018
0 . 6 0 0
JCR@2023
ESI Discipline: MATHEMATICS;
ESI HC Threshold:68
JCR Journal Grade:4
CAS Journal Grade:4
Cited Count:
WoS CC Cited Count: 11
SCOPUS Cited Count: 9
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 1
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