Central limit theorems for the integrated squared error of derivative estimators

Melanie Birke

No 2006,53, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: A central limit theorem for the weighted integrated squared error of kernel type estimators of the first two derivatives of a nonparametric regression function is proved by using results for martingale differences and U-statistics. The results focus on the setting of the Nadaraya-Watson estimator but can also be transfered to local polynomial estimates.

Keywords: central limit theorem; integrated squared error; kernel estimates; local polynomial estimate; Nadaraya-Watson estimate; nonparametric regression (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200653

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