Nonparametric Estimation with Aggregated Data

52 Pages Posted: 21 Jul 2008

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: July 2000

Abstract

We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from different families be in dependent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behaviour of the characteristic function at infinity. We investigate the practical performance of our method in a simple Monte Carlo experiment

JEL Classification: C13, C14

Suggested Citation

Linton, Oliver B. and Whang, Yoon-Jae, Nonparametric Estimation with Aggregated Data (July 2000). LSE STICERD Research Paper No. EM397. Available at SSRN: https://ssrn.com/abstract=1162588

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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