文章基本信息

标题：The Estimation of Conditional Densities
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作者：Xiaohong Chen ; Oliver Linton ; Peter M Robinson 等
期刊名称：Japanese Studies Programme Papers
出版年度：2001
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and marginal density estimates. We point out the different implications of leading choices of bandwidths in numerator and denominator for the ability of the estimate to integrate to one and to have finite moments. Again bearing in mind different bandwidth possibilities, we discuss asymptotic theory for the estimate: asymptotic bias and variance are calculated under various conditions, an extended discussion of bandwidth choice is included, and a central limit theorem is given
关键词：Conditional density estimation; serial dependence; bandwidth ;choice.