Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Loading...
Thumbnail Image

Date

2016

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

We propose a residual-based empirical distribution function to estimate the distribution function of the errors of a heteroskedastic nonparametric regression with responses missing at random based on completely observed data, and we show this estimator is asymptotically most precise.

Description

Table of contents

Keywords

heteroskedastic, empirical distribution function, efficient estimator, transfer principle, local polynomial smoother, nonparametric regression

Citation