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Rate of convergence of the density estimation of regression residual
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László Györfi
Published/Copyright:
March 6, 2013
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.
Published Online: 2013-03-06
Published in Print: 2013-03
© by Oldenbourg Wissenschaftsverlag, München, Germany
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Keywords for this article
regression residual;
kernel density estimation;
partitioning;
kernel and nearest neighbor regression estimation;
rate of convergence.
Articles in the same Issue
- Perpetual American options in a diffusion model with piecewise-linear coefficients
- Properties of hierarchical Archimedean copulas
- Rate of convergence of the density estimation of regression residual
- A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
