Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/79575 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2012-046
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is larger than the ill-posedness of the problem, which is given by the polynomial decay rate of the characteristic function of the error. The limit distribution is a generalized Brownian bridge with a covariance structure that depends on the characteristic function of the error and on the functionals. The proposed estimators are optimal in the sense of semiparametric efficiency. The class of linear functionals is wide enough to incorporate the estimation of distribution functions. The proofs are based on smoothed empirical processes and mapping properties of the deconvolution operator.
Schlagwörter: 
Deconvolution
Donsker theorem
Efficiency
Distribution function
Smoothed empirical processes
Fourier multiplier
JEL: 
C14
Dokumentart: 
Working Paper

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