Asymptotic Normality of Conditional Density and Conditional Mode in the Functional Single Index Model
The main objective of this paper is to investigate the nonparametric estimation of the conditional density of a scalar response variable Y, given the explanatory variable X taking value in a Hilbert space when the sample of observations is considered as an independent random variables with identical...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2021-01-01
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| Series: | Ekonometria |
| Online Access: | https://journals.ue.wroc.pl/eada/article/view/938 |
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| Summary: | The main objective of this paper is to investigate the nonparametric estimation of the conditional density of a scalar response variable Y, given the explanatory variable X taking value in a Hilbert space when the sample of observations is considered as an independent random variables with identical distribution (i.i.d) and are linked with a single functional index structure. First of all, a kernel type estimator for the conditional density function (cond-df) is introduced. Afterwards, the asymptotic properties are stated for a conditional density estimator when the observations are linked with a singleindex structure from which one derives a central limit theorem (CLT) of the conditional density estimator to show the asymptotic normality of the kernel estimate of this model. As an application the conditional mode in functional single-index model is presented, and the asymptotic (1 - ) confidence interval of the conditional mode function is given for 0 < < 1. A simulation study is also presented to illustrate the validity and finite sample performance of the considered estimator. Finally, the estimation of the functional index via the pseudo-maximum likelihood method is discussed.(original abstract) |
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| ISSN: | 2449-9994 |