Asymptotic normality of conditional density estimation with left-truncated and dependent data

Han-Ying Liang () and Jong-Il Baek ()

Statistical Papers, 2016, vol. 57, issue 1, 20 pages

Abstract: Based on the idea of the local polynomial smoother, we construct the Nadaraya–Watson type and local linear estimators of conditional density function for a left-truncation model. Asymptotic normality of the estimators is established under the lifetime observations are assumed to be a sequence of stationary $$\alpha $$ α -mixing random variables. Finite sample behavior of the estimators is investigated via simulations too. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Asymptotic normality; Nadaraya–Watson type and local linear estimators; Conditional density; Truncated data; $$\alpha $$ α -mixing; 62N02; 62G07 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-014-0635-1

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