Sup–Hellinger consistency for local density regression

Xiang, Fei and Walker, Stephen G. (2016) Sup–Hellinger consistency for local density regression. Communications in Statistics - Theory and Methods, 45 (5). pp. 1329-1344. ISSN 0361-0926

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.