A uniform central limit theorem and efficiency for deconvolution estimators

Jakob Söhl and Mathias Trabs

No 2012-046, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is larger than the ill-posedness of the problem, which is given by the polynomial decay rate of the characteristic function of the error. The limit distribution is a generalized Brownian bridge with a covariance structure that depends on the characteristic function of the error and on the functionals. The proposed estimators are optimal in the sense of semiparametric efficiency. The class of linear functionals is wide enough to incorporate the estimation of distribution functions. The proofs are based on smoothed empirical processes and mapping properties of the deconvolution operator.

Keywords: Deconvolution; Donsker theorem; Efficiency; Distribution function; Smoothed empirical processes; Fourier multiplier (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2012-046

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