Abstract
We prove a Donsker-type invariance principle for a nearest-neighbor-type conditional empirical process. As an application we show asymptotic normality of conditional quantiles and derive large-sample distribution-free tests and confidence bands for a conditional distribution function.
Citation
Winfried Stute. "Conditional Empirical Processes." Ann. Statist. 14 (2) 638 - 647, June, 1986. https://doi.org/10.1214/aos/1176349943
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