Nonparametric Estimation and Symmetry Tests for Conditional Density Functions
journal contributionposted on 05.06.2017, 01:37 by Hyndman, Rob J., Yao, Qiwei
We suggest two new methods for conditional density estimation. The first is based on locally fitting 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.