Sup–Hellinger consistency for local density regression
Fei Xiang, Stephen Graham Walker · Communication in Statistics- Theory and Methods · 2015
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.