an:05543900
Zbl 1158.62032
M??ller, Ursula U.; Schick, Anton; Wefelmeyer, Wolfgang
Estimating the error distribution function in nonparametric regression with multivariate co\-var\-iates
EN
Stat. Probab. Lett. 79, No. 7, 957-964 (2009).
00248332
2009
j
62G08 62G30 60F17
Summary: We consider nonparametric regression models with multivariate covariates and estimate the regression curve by an undersmoothed local polynomial smoother. The resulting residual-based empirical distribution function is shown to differ from the error-based empirical distribution function by the density times the average of the errors, up to a uniformly negligible remainder term. This result implies a functional central limit theorem for the residual-based empirical distribution function.
Reviewer (Berlin)