Asymptotic normality of conditional distribution estimation in the single index model
, , and | Aug 05, 2017
About this article
Published Online: Aug 05, 2017
Page range: 162 - 175
Received: May 20, 2016
DOI: https://doi.org/10.1515/ausm-2017-0010
Keywords
© 2017 Diaa Eddine Hamdaoui et al., published by De Gruyter Open
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
This paper deals with the estimation of conditional distribution function based on the single-index model. The asymptotic normality of the conditional distribution estimator is established. Moreover, as an application, the asymptotic (1 − γ) confidence interval of the conditional distribution function is given for 0 < γ < 1.