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LIL FOR KERNEL ESTIMATOR OF ERROR DISTRIBUTION IN REGRESSION MODEL

  • Niu, Si-Li
  • Published : 2007.07.30

Abstract

This paper considers the problem of estimating the error distribution function in nonparametric regression models. Sufficient conditions are given under which the kernel estimator of the error distribution function based on nonparametric residuals satisfies the law of iterated logarithm.

Keywords

law of iterated logarithm;kernel estimation;nonparametric residuals;empirical process

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