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Improved density and distribution function estimation. (English) Zbl 1437.62134
The authors study the estimation of the density function or the distribution function of generalised residuals in semi-parametric models defined by a finite number of moment restrictions. The paper gives conditions for the consistency and derives the asymptotic mean squared error properties of the kernel density and distribution function estimators proposed in the paper. Simulation studies are presented to evaluate the small sample performance of these estimators.
MSC:
62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
Software:
KernSmooth
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References:
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