Estimating the error distribution function in semiparametric regression

Author(s): Ursula U. Muller \| Anton Schick \| Wolfgang Wefelmeyer
doi: 10.1524/stnd.2007.25.1.1
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Statistics & Decisions

Print ISSN: 0721-2631

Volume: 25 | Issue: 1

Cover date: January 2007

Page(s): 1-18



Keywords

local linear smoother, i.i.d. representation, Donsker class, efficiency



Abstract text

We prove a stochastic expansion for a residual-based estimator of the error distribution function in a partly linear regression model. It implies a functional central limit theorem. As special cases we cover nonparametric, nonlinear and linear regression models.



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