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Nonparametric Estimation and Symmetry Tests for Conditional Density Functions 

Authors: Rob J. Hyndman a; Qiwei Yao b
Affiliations:   a Department of Econometrics and Business Statistics, Monash University, Clayton VIC 3800, Australia.
b Department of Statistics, London School of Economics, Houghton Street, London WC2A 2AE, UK.
DOI: 10.1080/10485250212374
Publication Frequency: 8 issues per year
Published in: journal Journal of Nonparametric Statistics, Volume 14, Issue 3 2002 , pages 259 - 278
Number of References: 39
Formats available: PDF (English)
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Abstract

We suggest two improved methods for conditional density estimation. The first is based on locally fitting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always produce non-negative estimators. We propose an algorithm suitable for selecting the two bandwidths for either estimator. We also develop a new bootstrap test for the symmetry of conditional density functions. The proposed methods are illustrated by both simulation and application to a real data set.
Keywords: Bandwidth Selection; Bootstrap; Conditioning; Density Estimation; Kernel Smoothing; Symmetry Tests
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