Estimating the density of a conditional expectation. Steckley, S. G., Henderson, S. G., Ruppert, D., Yang, R., Apley, D. W., & Staum, J. Electronic Journal of Statistics, 10:736–760, 2016.
Estimating the density of a conditional expectation [pdf]Paper  abstract   bibtex   1 download  
In this paper, we analyze methods for estimating the density of a conditional expectation. We compare an estimator based on a straightforward application of kernel density estimation to a bias-corrected estimator that we propose. We prove convergence results for these estimators and show that the bias-corrected estimator has a superior rate of convergence. In a simulated test case, we show that the bias-corrected estimator performs better in a practical example with a realistic sample size.

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