Central limit theorems for the integrated squared error of derivative estimators

Melanie Birke

Statistics & Probability Letters, 2008, vol. 78, issue 13, 1903-1913

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 transferred to local polynomial estimates.

Date: 2008
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