NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA

Oliver Bruce Linton () and Yoon-Jae Whang ()

Econometric Theory, 2002, vol. 18, issue 02, pages 420-468

Abstract: We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intrafamily component but require that observations from different families be independent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behavior of the characteristic function at infinity. We investigate the practical performance of our method in a simple Monte Carlo experiment.

Date: 2002
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Working Paper: Nonparametric Estimation with Aggregated Data (2000)
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