On the convergence rate of maximal deviation distribution for kernel regression estimates |
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Authors: | V D Konakov V I Piterbarg |
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Institution: | Central Economics-Mathematical Institute, Moscow, USSR;Moscow State University, Moscow, USSR |
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Abstract: | Let (X, Y), X Rp, Y R1 have the regression function r(x) = E(Y¦X = x). We consider the kernel nonparametric estimate rn(x) of r(x) and obtain a sequence of distribution functions approximating the distribution of the maximal deviation with power rate. It is shown that the distribution of the maximal deviation tends to double exponent (which is a conventional form of such theorems) with logarithmic rate and this rate cannot be improved. |
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Keywords: | Nonparametric regression maximal deviation distribution Gaussian homogeneous field |
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