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Nonparametric regression with filtered data

By Oliver Linton, Enno Mammen, Jens Perch Nielsen and Ingrid Van Keilegom

Abstract

We present a general principle for estimating a regression function nonparametrically, allowing for a wide variety of data filtering, for example, repeated left truncation and right censoring. Both the mean and the median regression cases are considered. The method works by first estimating the conditional hazard function or conditional survivor function and then integrating. We also investigate improved methods that take account of model structure such as independent errors and show that such methods can improve performance when the model structure is true. We establish the pointwise asymptotic normality of our estimators

Topics: QA Mathematics
Publisher: Chapman & Hall
Year: 2011
DOI identifier: 10.3150/10-BEJ260
OAI identifier: oai:eprints.lse.ac.uk:33809
Provided by: LSE Research Online
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