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Sup–Hellinger consistency for local density regression

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  • Fei Xiang
  • Stephen G. Walker

Abstract

This article studies the consistency of a local density regression model under a supremum Hellinger distance. Such model applies a piecewise structure where a mixture of Dirichlet process model (MDP) is assigned as the fixed density on each piece. The piecewise construction is a straightforward way to establish sup–Hellinger consistency in a regression settings. A specific piecewise density example is presented in a simulation study.

Suggested Citation

  • Fei Xiang & Stephen G. Walker, 2016. "Sup–Hellinger consistency for local density regression," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1329-1344, March.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:5:p:1329-1344
    DOI: 10.1080/03610926.2013.863927
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