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Sup–Hellinger consistency for local density regression

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<mark>Journal publication date</mark>03/2016
<mark>Journal</mark>Communications in Statistics - Theory and Methods
Issue number5
Volume45
Number of pages16
Pages (from-to)1329-1344
Publication StatusPublished
Early online date15/04/15
<mark>Original language</mark>English

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.