The conditional cumulative distribution function in single functional index model

ABSTRACT

We consider the estimation of the conditional cumulative distribution function of a scalar response variable Y given a Hilbertian random variable X when the observations are linked via a single-index structure. We establish the pointwise and the uniform almost complete convergence (with the rate) of the kernel estimate of this model. As an application, we show how our result can be applied in the prediction problem via the conditional median estimate. Also, the choice of the functional index via the cross-validation procedure is also discussed but not attacked.

KEYWORDS:

• Conditional cumulative distribution function
• Functional random variable
• Kernel estimator
• Single-functional index model.

MATHEMATICS SUBJECT CLASSIFICATION:

• 60G25
• 62G05
• 62G08
• 62G20.