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Identification in a fully nonparametric transformation model with heteroscedasticity. (English) Zbl 1461.62049
Summary: An identification result for nonparametrically transformed location scale models is proven. The result is constructive in the sense that it provides an explicit expression of the transformation function.
MSC:
62G08 Nonparametric regression and quantile regression
62G05 Nonparametric estimation
62P20 Applications of statistics to economics
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