Estimation of the Error Density in a Semiparametric Transformation Model

Details Estimation of the Error Density in a Semiparametric Transformation Model Estimation of the Error Density in a Semiparametric Transformation Model

2011-10-09

arxiv.org/abs/1110.1846v1

Mathematics

Statistics Theory

Scientific paper

Consider the semiparametric transformation model $\Lambda_{\theta_o}(Y)=m(X)+\epsilon$, where $\theta_o$ is an unknown finite dimensional parameter, the functions $\Lambda_{\theta_o}$ and $m$ are smooth, $\epsilon$ is independent of $X$, and $\esp(\epsilon)=0$. We propose a kernel-type estimator of the density of the error $\epsilon$, and prove its asymptotic normality. The estimated errors, which lie at the basis of this estimator, are obtained from a profile likelihood estimator of $\theta_o$ and a nonparametric kernel estimator of $m$. The practical performance of the proposed density estimator is evaluated in a simulation study.

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