Adaptive Estimation of a Conditional Density

Abstract

SummaryThe authors consider the problem of estimating a conditional density by a conditional kernel density estimate when the error associated with the estimate is measured by the L1‐norm. On the basis of the combinatorial method of Devroye and Lugosi (), they propose a method for selecting the bandwidths adaptively and for providing a theoretical justification of the approach. They use simulated data to illustrate the finite‐sample performance of their estimator.