In the previous chapter, we discussed nonparametric density estimation. In this chapter, we discuss nonparametric estimation of the regression function E(yx) ≡ r(x), where y = r(x) + u and E(ux) = 0. More generally, we can consider functionals of the conditional distribution F y x , such as ∂r(x)/∂x and V(yx). But usually, estimation methods for the functionals can be inferred from those for E(yx).


Asymptotic Distribution Near Neighbor Kernel Method Nonparametric Regression Kernel Estimator 


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Copyright information

© Springer Science+Business Media New York 1996

Authors and Affiliations

  • Myoung-jae Lee
    • 1
  1. 1.Department of EconometricsTilburg UniversityTilburgThe Netherlands

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