Empirical likelihood estimators for the error distribution in nonparametric regression models |
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Authors: | S Kiwitt E -R Nagel N Neumeyer |
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Institution: | 1. Universit?t Hamburg, Hamburg, Germany 2. Ruhr-Universit?t, Bochum, Germany
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Abstract: | The aim of this paper is to show that existing estimators for the error distribution in non-parametric regression models can
be improved when additional information about the distribution is included by the empirical likelihood method. The weak convergence
of the resulting new estimator to a Gaussian process is shown and the performance is investigated by comparison of asymptotic
mean squared errors and by means of a simulation study.
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Keywords: | empirical distribution function empirical likelihood error distribution estimating function nonparametric regression Owen estimator |
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