Rate of convergence of the density estimation of regression residual

Györfi László and Walk Harro

Statistics & Risk Modeling, 2013, vol. 30, issue 1, 55-74

Abstract: Consider the regression problem with a response variable Y and with a d-dimensional feature vector X. For the regression function m(x) = E{Y|X = x}, this paper investigates methods for estimating the density of the residual Y − m(X) from independent and identically distributed data. If the density is twice differentiable and has compact support then we bound the rate of convergence of the kernel density estimate. It turns out that for d ≤ 3 and for partitioning regression estimates, the regression estimation error has no influence on the rate of convergence of the density estimate.

Keywords: regression residual; kernel density estimation; partitioning; kernel and nearest neighbor regression estimation; rate of convergence. (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1524/strm.2013.1127

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