J.G. de Gooijer
D. Zerom Godefay
- On conditional density estimation
- Statistica Neerlandica
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- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
With the aim of mitigating the possible problem of negativity in the estimation of the conditional density function, we introduce a so-called re-weighted Nadaraya-Watson (RNW) estimator. The proposed RNW estimator is constructed by a slight modification of the well-known Nadaraya-Watson smoother. With a detailed asymptotic analysis, we demonstrate that the RNW smoother preserves the superior large-sample bias property of the local linear smoother of the conditional density recently proposed in the literature. As a matter of independent statistical interest, the limit distribution of the RNW estimator is also derived.
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