Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2002-04-08
Number: 02-032/4
Author-Name: Jan G. de Gooijer
Author-Email: j.g.degooijer@uva.nl
Author-Name: Dawit Zerom
Author-Email: d.zeromgodefay@uva.nl
Author-Workplace-Name: Faculty of Economics and Econometrics, University of Amsterdam
Title: On Conditional Density Estimation
Abstract: 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.
Classification-JEL: C22
Keywords: alpha-mixing; asymptotic properties; negativity; nonparametric; re-weighted
File-Url: https://papers.tinbergen.nl/02032.pdf
File-Format: application/pdf
File-Size: 325660 bytes
Handle: RePEc:tin:wpaper:20020032