Asymptotic normality of conditional distribution estimation in the single index model

Abstract

This paper deals with the estimation of conditional distribution function based on the single-index model. The asymptotic normality of the conditional distribution estimator is established. Moreover, as an application, the asymptotic (1 − γ) confidence interval of the conditional distribution function is given for 0 < γ < 1.

Keywords

• asymptotic normality
• single functional index model
• conditional distribution
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