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Nonparametric estimation and symmetry tests for conditional density functions

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Abstract: We suggest two improved methods for conditional density estimation. The rst is based on locally tting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always produce non-negative estimators. We propose an algorithm suitable for selecting the two bandwidths for either estimator. We also develop a new bootstrap test for the symmetry of conditional density functions. The proposed methods are illustrated by both simulation and application to a real data set.

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en

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application/pdf

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http://eprints.lse.ac.uk/6092/1/Nonparametric_estimation_and_symmetry_tests_for_conditional_density_functions%28LSERO%29.pdf

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