Estimating the error distribution function in nonparametric regression

10/03/2018

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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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Estimating the error distribution function in nonparametric regression

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Estimating the error distribution function in nonparametric regression

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