Nonparametric Estimation of the Error Functional of a Location-Scale Model
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Date
2018-10-01Author
Torsen, Emmanuel
Mwita, Peter N.
Mung’atu, J. K.
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Two estimators of the distribution of the error term are proposed
based on nonparametric regression residuals; considering a heteroscadastic
location-scale model where the mean and variance functions are
smooth, and the error term is independent of the independent variable.
The asymptotic properties of the two estimators: the unconditional cumulative
distribution estimator and the conditional cumulative distribution
estimator were examined. Simulation study was conducted, the
mean square error of the unconditional cumulative distribution estimator
was found to be smaller in comparison to its conditional cumulative
distribution estimator counterpart. Hence, we recommend the use of
the former.