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

Chown, Justin2016-10-142016-10-142016http://hdl.handle.net/2003/3528510.17877/DE290R-17328We 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.enDiscussion Paper / SFB823;51, 2016heteroskedasticempirical distribution functionefficient estimatortransfer principlelocal polynomial smoothernonparametric regression310330620Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing dataworking paperFehlerabschätzungHeteroskedastizitätNichtparametrische Regression