Abstract
For the linear modely i =x i θ+e i ,i=1, 2 ···, let the error sequence {e i } i=1 be iid r.v.'s, with unknown densityf(x). In this paper, a nonparametric estimation method based on the residuals is proposed for estimatingf(x) and the consistency of the estimators is obtained.
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The project supported by National Natural Science Foundation of China Crant 18971061.
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Chai, G., Li, Z. & Tian, H. Consistent nonparametric estimation of error distributions in linear model. Acta Mathematicae Applicatae Sinica 7, 245–256 (1991). https://doi.org/10.1007/BF02005973
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DOI: https://doi.org/10.1007/BF02005973