A generalized -approach for a kernel estimator of

conditional quantile with functional regressors:

Consistency and asymptotic normality
Ali Laksaci, Mohamed Lemdani, Elias Ould-Saïd

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Ali Laksaci, Mohamed Lemdani, Elias Ould-Saïd. A generalized -approach for a kernel estimator of
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Accepted Manuscript

A generalized L 1 -approach for a kernel estimator of conditional

quantile with functional regressors: Consistency and asymptotic
normality

Ali Laksaci, Mohamed Lemdani, Elias Ould-Saı̈d

PII: S0167-7152(08)00576-2
DOI: 10.1016/j.spl.2008.12.016
Reference: STAPRO 5310

To appear in: Statistics and Probability Letters

Received date: 30 September 2008

Revised date: 15 December 2008
Accepted date: 15 December 2008

Please cite this article as: Laksaci, A., Lemdani, M., Ould-Saı̈d, E., A generalized L 1 -approach
for a kernel estimator of conditional quantile with functional regressors: Consistency and
asymptotic normality. Statistics and Probability Letters (2008), doi:10.1016/j.spl.2008.12.016

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 ACCEPTED MANUSCRIPT

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A generalized L1-approach for a kernel estimator of

conditional quantile with functional regressors: consistency

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and asymptotic normality

∗
Ali Laksaci Mohamed Lemdani
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Dép. de Mathématiques Lab. de Biomathématiques

Univ. Djillali Liabès Univ. de Lille 2. Fac. de Pharmacie

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BP 89, S. B. A. 22000, Algeria 3, rue du Pr. Laguesse, 59006 Lille, France

e-mail:alilak@yahoo.fr e-mail: mohamed.lemdani@univ-lille2.fr

Elias Ould-Saïd
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L.M.P.A. J. Liouville, Univ. du Littoral Côte d’Opale

BP 699, 62228 Calais, France

e-mail: ouldsaid@lmpa.univ-littoral.fr
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December 15, 2008

Abstract: A kernel estimator of the conditional quantile is defined for a scalar response variable given a
covariate taking values in a semi-metric space. The approach generalizes the median’s L1 -norm estimator.
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The almost complete consistency and asymptotic normality are stated.

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Keywords Asymptotic distribution · functional data · kernel estimate · robust estimation · small balls
probability.
AMS Subject classification Primary, 62G20 ; secondary 62G08 · 62G35 · 62E20.

∗
Corresponding author, Tel: (33) 320 964 933, Fax: (33) 320 964 704.

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1 Introduction
Let (X, Y ) be a pair of random variables (rv) in F × IR, where the space F is endowed with a semi-metric
d(·, ·) (this covers the case of semi-normed spaces of possibly infinite dimension). In this context, X can be

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a functional random variable. In the following, we fix a point x ∈ F and we consider a given neighborhood
Nx of x. We assume that the regular version F z of the conditional distribution function of Y given X = z
exists for any z ∈ Nx . Moreover we suppose that F x has a continuous density f x with respect to (w.r.t.)

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Lebesgue’s measure over IR.
Now for p ∈ (0, 1), we consider the conditional quantile of order p of F x

tp (x) = inf {t ∈ IR : F x (t) ≥ p} . (1)

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Alternatively, the pth conditional quantile tp (x) can be defined as the unique solution wrt t of the optimiza-
tion problem
min Ψp (x, t) (2)
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t∈IR

where
Ψp (x, t) = IE [ψp (Y − t) |X = x]

with ψp (t) = (2p − 1)t + |t|.

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During the last decade, thanks to progress in computer tools, it has become easier to deal with increasingly
bulky data. Therefore statistical problems related to the modelization of functional random variables have
received an increasing interest in the recent literature (see, e.g., Bosq, 2000, Ramsay and Silverman, 2002
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and 2005 for the linear model and Ferraty and Vieu (2006) in the nonparametric case). It is well
known that traditional statistical methods fail when dealing with functional data. Then, the goal
of this paper is to study a nonparametric estimator of tp (x) when the explanatory variable X is
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functional.
Conditional quantiles are widely studied when the explanatory variable lies within a finite dimen-
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sional space and there are many references on this topic (see, e.g., Samanta (1989) for previous
results and Gannoun et al. (2003) for recent advances and references). Let us also mention Zhou
and Liang (2000) and Lin and Li (2007) where the asymptotic normality is considered in the case
of the conditional median (p = 1/2) under α-mixing and association conditions, respectively. Note
here that in our approach we get, for the median, the well-known L1 -norm estimator.

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However the number of papers dealing with this model, in the case of functional X, is fairly limited.
For instance, a B-spline approach is used in Cardot et al. (2004) to study the linear model of
regression on quantiles with explanatory variable taking values in a Hilbert space. The authors

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obtained the estimator’s L2 -convergence. In the nonparametric context, the almost complete (a.co.)1
convergence of the conditional quantile’s kernel estimator is established in Ferraty et al. (2006)
when the observations are independent and identically distributed (iid) whereas the dependent case

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is considered in Ferraty et al. (2005) with an application to climatologic data. The asymptotic
normality of this estimator was studied in both cases (iid and strong mixing) by Ezzahrioui and
Ould-Saïd (2008). Recently, Dabo-Niang and Laksaci (2008) stated the convergence in Lp -norm
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under less restrictive conditions. They considered the concentration property on small balls of the
probability measure of the underlying explanatory variable, in the iid case. All the works mentioned
above use an estimation procedure based on the double-kernel method.
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In this paper, we estimate the conditional quantile nonparametrically, by adapting the L1 -norm
method which enjoys some robustness properties. This is done by replacing the absolute value
function by ψp (·) and is motivated by the fact that L1 is the natural space where the rvs live. To
our knowledge, this kind of result has not so far been addressed. We establish, under mild assump-
tions (which include the concentration property), the almost complete consistency and asymptotic
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normality of this estimator. These results complete those obtained in Ferraty et al. (2006) where
consistency with rate (but not asymptotic normality) is given for a smoothed estimator. On the
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other hand, using a robust approach allows us to avoid the classical small-departure-related prob-
lems which may occur for the double-kernel method. Moreover we do not have to care, in our case,
for a second smoothing parameter.
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The paper is organized as follows. We present our estimation procedure in Section 2 before giving
the hypotheses and stating the main results in Section 3. The proofs of the auxiliary results are
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relegated to Section 4.
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1
We say that a sequence Zn converges a.co. to Z if and only if, for any  > 0, n IP (|Zn − Z| > ) < ∞.

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2 Nonparametric estimator of the conditional quantile
Let (X1 , Y1 ), . . . (Xn , Yn ) be n independent random pairs in F × IR which are identically distributed

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as (X, Y ). Based on this n-sample, a kernel estimate of Ψp (x, t) is given by
n
X
b p (x, t) =
Ψ Wni (x)ψp (Yi − t), ∀t ∈ IR
i=1
−1
K(h d(x, Xi )) 2

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where Wni (x) = Pn −1
, K is a kernel function and h := hn is a sequence of positive
j=1 K(h d(x, Xj ))
real numbers which goes to zero as n goes to infinity. A natural estimator of tp (x) is then

b b p (x, t).
tp (x) = arg min Ψ (3)
t∈IR
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b p (x, ·) being convex with limit +∞ at both −∞ and +∞ (with great probability), it
Note here that Ψ
b p (x, ·) is piecewise linear (with increasing
has at least one minimizing value over IR. Note also that Ψ
slope) and may have a flat (zero-slope) part where it takes its minimum value. In that case, we
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take b
tp (x) as the smallest minimizing value (thus the lowest abscissa of the flat part). Otherwise
b
tp (x) is unique and locates the turning point from negative to positive slope. It can be shown that
(see the proof in the appendix)

tp (x) = bb
b tp (x) := inf{t ∈ IR : Fbx (t) ≥ p} (4)
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where Fbx (·) is the estimator of F x (·) defined by

n
X
Fbx (·) = Wni (x)1I{Yi ≤·} (5)
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i=1

with 1I{·} being the indicator function.

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3 Main results
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In the following, the ball of center x and radius r > 0 is denoted B(x, r). Moreover, for i = 1, . . . , n,
let Ki (x) = K(h−1 d(x, Xi )) and, in view of (5), put
Fbx (t)
Fbx (t) = N (6)
FbDx
2
In the case where the denominator of Wni (x) is zero, we use the convention 0/0 = 0. We here point out that
this event has small probability under suitable condition (see Lemma 3.4 below).

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where
X n X n
1 1
FbNx (t) = Ki (x)1I{Yi ≤t} and FbDx = Ki (x). (7)
n IE[K1 (x)] i=1 n IE[K1 (x)] i=1

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We first study the consistency of our estimator before addressing the asymptotic normality issue.

3.1 Consistency

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In this subsection, we establish the almost complete convergence of b
tp (x) to tp (x). To do that, we
consider the following hypotheses (hereafter C1 , C2 , . . . denote positive constants). Recall that we
assume that F z exists for any z ∈ Nx and that F x admits a continuous density f x .
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(H1) IP(X ∈ B(x, r)) =: φx (r) > 0 for all r > 0 and limr→0 φx (r) = 0.

(H2) ∃δ > 0, ∀(t1 , t2 ) ∈ [tp (x) − δ, tp (x) + δ]2 , ∀(x1 , x2 ) ∈ Nx2 ,

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|F x1 (t1 ) − F x2 (t2 )| ≤ C1 db (x1 , x2 ) + |t1 − t2 |k , for b, k > 0.

(H3) K is a measurable function with support [0, 1] and satisfies 0 < C2 ≤ K(·) ≤ C3 < ∞.

(H4) nφx (h)/ log n −→ ∞ as n → ∞.

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Comments on the hypotheses

Hypothesis (H1) characterizes the classical concentration property (see Ferraty and Vieu, 2006). A
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mild regularity condition (H2) is assumed for the distribution function. Hypotheses (H3)-(H4) are
technical conditions imposed for the brievity of proofs.
Now, in order to state the a.co. convergence of our estimate, we need the following result.
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Proposition 3.1 Under Hypotheses (H1)-(H4), we have,

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 1/2 !

log n
sup |Fbx (t) − F x (t)| = O hb + O a.co.
t∈[tp (x)−δ, tp (x)+δ] n φx (h)

Theorem 3.1 Under the hypotheses of Proposition 3.1, if f x (tp (x)) > 0, then
 1/2 !

log n
|tbp (x) − tp (x)| = O hb + O a.co.
n φx (h)

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Proof of Theorem 3.1. As F x is continuously differentiable with f x (tp (x)) > 0, we have for any
small enough  > 0
!
X
X

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IP tbp (x) > tp (x) +  ≤ IP sup |Fbx (t) − F x (t)| ≥ f x (ξ1 ()) (8)
n n t∈[tp (x), tp (x)+]

and !
X
X
P tbp (x) < tp (x) −  ≤ IP sup |Fbx (t) − F x (t)| ≥ f x (ξ2 ()) (9)

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n n t∈[tp (x)−, tp (x)]

where ξ1 () (resp. ξ2 ()) is between tp (x) and tp (x) +  (resp. tp (x) −  and tp (x)). Moreover, there
exists δ0 ∈]0, δ] such that
inf f x (t) ≥ C4 > 0.
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t∈[tp (x)−δ0 , tp (x)+δ0 ]
 1/2 !
b log n
Then applying (8) and (9) with  = h + , we get for a large enough n0
n φx (h)
!
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X
X
P |tbp (x) − tp (x)| >  ≤ IP sup |Fbx (t) − F x (t)| ≥ C4  < ∞.
n≥n0 n≥n0 t∈[tp (x)−δ0 , tp (x)+δ0 ]

Then Theorem 3.1 is an easy consequence of Proposition 3.1.

Proof of Proposition 3.1.
h i
Using (6) and (7) and remarking that IE FbDx = 1, we write
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1 h bx h i  h i i F x (t) h h ii
Fbx (t) − F x (t) = FN (t) − IE FbNx (t) − F x (t)) − IE FbNx (t) − FbDx − IE FbDx
FbDx FbDx
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for all t ∈ IR. The proof is achieved through the following lemmas.

Lemma 3.1 (see Ferraty et al., 2006) Under Hypotheses (H1), (H3) and (H4), we have
h i  1/2 !
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log n
FbDx − IE FbDx = O a.co.
n φx (h)
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Moreover  
X 1
b x
IP FD < < ∞.
n
2

Lemma 3.2 Under Hypotheses (H1)-(H3), we have,

 h i

 x 
sup F (t) − IE FbNx (t)  = O hb .
t∈[tp (x)−δ, tp (x)+δ]

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Lemma 3.3 Under Hypotheses (H1), (H3) and (H4), we have,
 h i  1/2 !
 bx  log n
sup FN (t) − IE FbNx (t)  = O , a.co.
t∈[tp (x)−δ, tp (x)+δ] n φx (h)

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3.2 Asymptotic normality

Now, we study the asymptotic normality of tbp (x). We replace (H1), (H3) and (H4) by the following

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hypotheses, respectively.

(H10 ) The concentration property (H1) holds. Moreover, there exists a function βx (·) such that
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∀s ∈ [0, 1], lim φx (sr)/φx (r) = βx (s).
r→0

(H30 ) The kernel K satisfies (H3) and is a differentiable function on ]0, 1[ with derivative K 0 such
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that −∞ < C5 < K 0 (·) < C6 < 0.

(H40 ) nφx (h)/ log n −→ ∞ and nh2b φx (h) −→ 0 as n → ∞.

In what follows, we assume that x is in A = {z ∈ F, f z (tp (z)) 6= 0 and βz (·) is not identically zero}.
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Remark 3.1 - The function βx (·) defined in (H10 ) plays a fundamental role in the asymptotic
normality result. It permits to give the variance term explicitly. Noting that (H10 ) is fulfilled by
several small ball probability functions, we quote the following cases (which can be found in Ferraty
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et al. (2007)):
i) φx (h) = Cx hγ for some γ > 0 with βx (u) = uγ ,

ii) φx (h) = Cx hγ exp −Ch−p for some γ > 0 and p > 0 with βx (u) = δ1 (u) where δ1 (·) is Dirac’s
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function,
iii) φx (h) = Cx | ln h|−1 with βx (u) = 1I]0,1] (u).
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- The first condition defining the set A is classical and related to a nonvanishing conditional density.
The second condition means that a small amount a concentration is needed in order to ensure
asymptotic normality.
- Finally we point out that the second rate in our Hypothesis (H40 ) is the same as the one in Masry
(2005, Corollary 2) for infinite-dimension spaces. More precisely, this assumption is used to remove

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the bias term. In other words, asymptotic normality could be established without this assumption
but, in that case, the result would be perturbed by the presence of the bias term.

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Now we are in position to give our main result.

Theorem 3.2 Under Hypotheses (H10 ), (H2), (H30 ) and (H40 ), we have
 1/2
nφx (h)
D
tbp (x) − tp (x) −→ N (0, 1) as n → ∞

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σ 2 (x)

D p(1 − p)a2 (x)

where −→ denotes the convergence in distribution, σ 2 (x) = and
(f x (tp (x)))2 a21 (x)
Z
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1
aj (x) = K (1) −j
(K j )0 (s)βx (s)ds for j = 1, 2. (10)
0

Proof of Theorem 3.2

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b x) := pFbx − Fbx (τp (u, x)). Then

For u ∈ IR, put τp (u, x) := tp (x) + u [nφx (h)]−1/2 σ(x) and Φ(u, D N

np
o 
IP nφx (h)σ −1 (x) tbp (x) − tp (x) ≤ u = IP tbp (x) ≤ τp (u, x)
n o n 
o
= IP p ≤ Fbx (τp (u, x)) + IP FbDx = 0 ∩ tbp (x) ≤ τp (u, x)
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n h i h io
b x) − IE Φ(u,
= IP Φ(u, b x) ≤ IE −Φ(u,
b x)
n 
o
+ IP FbDx = 0 ∩ tbp (x) ≤ τp (u, x) .
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So the proof is a consequence of the following lemmas.

Lemma 3.4 Under Hypotheses (H1), (H3) and (H40 ), we have

n 
o
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IP FbDx = 0 ∩ tbp (x) ≤ τp (u, x) ≤ exp {−nφx (h)} .

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Lemma 3.5 Under the hypotheses of Theorem 3.2, we have, for all u ∈ IR,
p h i
b x) = u + o(1)
nφx (h) [f x (tp (x))σ(x)]−1 IE −Φ(u, as n −→ ∞.

Lemma 3.6 Under the hypotheses of Theorem 3.2, we have, for all u ∈ IR,
p  h i
x −1 b b D
nφx (h) [f (tp (x))σ(x)] Φ(u, x) − IE Φ(u, x) −→ N (0, 1) as n −→ ∞.

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Remark 3.2 In Lemma 3.5, Hypothesis (H40 ) allows to get a result with no asymptotic bias term.
Weaking this hypothesis into nφx (h) → ∞ and proceeding as in Ferraty et al. (2007) we consider
  
the function ζ(r) = IE F X (tp (x)) − p  d(x, X) = r and suppose it to be differentiable at zero.

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Moreover we assume that F z is absolutely continuous for z ∈ Nx with density f z . In that case we
get the bias term
a0 (x)
ζ 0 (0) h
a1 (x)

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where Z 1
a0 (x) = K(1) − (sK(s))0 βx (s)ds.
0
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4 Auxiliary results and proofs
Proof of (4)
n
X
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From (3) it is easy to see that b

tp (x) is the smallest minimizor of Wni (x)|Yi − t| − (2p − 1)t.
i=1
Writing |Yi − t| = (Yi − t)1I{Yi >t} + (t − Yi )1I{Yi ≤t} , we get the equivalent minimization problem (wrt
t) of
n
X
D(t) = t(Fbx (t) − p) − Wni (x)Yi 1I{Yi ≤t} .
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i=1

Then, by simple calculations, we get, for any t ≥ s

(t − s)(Fbx (s) − p) ≤ D(t) − D(s) ≤ (t − s)(Fbx (t) − p). (11)

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Since b
tp (x) minimizes D(·) then for any t ≥ b
tp (x) we have D(t)−D(b
tp (x)) ≥ 0 which by (11) implies
tp (x))(Fbx (t) − p) ≥ 0 and thus
(t − b
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∀t > b
tp (x) Fbx (t) ≥ p. (12)
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In the same way, as b

tp (x) is the smallest among all minimizers, then for any s < b
tp (x) we have
D(b
tp (x)) − D(s) < 0. Using the other part of (11) we obtain

∀s < b
tp (x) Fbx (s) < p. (13)

The equivalence between (3) and (4) is then a direct consequence of (12) and (13).
Proof of Lemma 3.2

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First note that K1 (x) = K1 (x)1IB(x,h) (X1 ), under (H3). We deduce from (7) and (H1)
h i 1 

x b x
F (t) − IE FN (t) = IE K1 (x)1IB(x,h) (X1 ) F x (t) − F X1 (t) .
IE [K1 (x)]

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Then by (H2) we have
1IB(x,h) (X1 )|F x (t) − F X1 (t)| ≤ C1 hb ,

this last inequality completes the proof, since C1 does not depend on t ∈ [tp (x) − δ, tp (x) + δ].

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Proof of Lemma 3.3
Using the compactness of [tp (x) − δ, tp (x) + δ], we can write
dn
[
[tp (x) − δ, tp (x) + δ] ⊂ ]yj − ln , yj + ln [ (14)
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j=1


with ln = n−1/2k and dn = O n1/2k . The monotony of IE[FNx (·)] and FbNx (·) gives, for 1 ≤ j ≤ dn

IEFbNx (yj − ln ) ≤ sup IEFbNx (t) ≤ IEFbNx (yj + ln )

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t∈]yj −ln ,yj +ln [

FbNx (yj − ln ) ≤ sup FbNx (t) ≤ FbNx (yj + ln ). (15)

t∈]yj −ln ,yj +ln [

Now, from (H2) and (7) we have, for any t1 , t2 ∈ [tp (x) − δ, tp (x) + δ]
 
 bx 
IEFN (t1 ) − IEFbNx (t2 ) ≤ C1 |t1 − t2 |k .
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(16)

So, we deduce from (14)–(16) that

   
 bx   bx 
FN (t) − IEFbNx (t) ≤ max FN (z) − IEFbNx (z) + 2k C1 lnk .
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sup max
t∈[tp (x)−δ, tp (x)+δ] 1≤j≤dn z∈{yj −ln ,yj +ln }

! s
log n
Since ln = n−1/2k , it follows that, under (H4), lnk = o . Thus, it remains to show that
n φx (h)
C

s !
  log n
 bx 
max max FN (z) − IEFbNx (z) = O , a.co. (17)
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1≤j≤dn z∈{yj −ln ,yj +ln } n φx (h)

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For this, using IP (∪i Ωi ) ≤ i IP(Ωi ), we have for any η > 0
s !
  log n
 bx 
IP max max FN (z) − IEFbNx (z) > η
1≤j≤dn z∈{yj −ln ,yj +ln } n φx (h)
s !
  log n
 
≤ 2dn max max IP FbNx (z) − IEFbNx (z) > η .
1≤j≤dn z∈{yj −ln ,yj +ln } n φx (h)

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Set   
Ki (x)1I{Yi ≤z} − IE K1 (x)1I{Y1 ≤z}
Λi (z) = .
IE [K1 (x)]
From (H1), (H3) and (H4) we get

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|Λi (z)| ≤ C3 /C2 φx (h) and V ar [Λi (z)] ≤ C3 /C22 φx (h).

Applying Bernstein’s exponential inequality we get

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s !
  log n
 bx 
IP FN (z) − IEFbNx (z) > η ≤ 2 exp{−C7 η 2 log n}, z ∈ {yj − ln , yj + ln }, 1 ≤ j ≤ dn .
n φx (h)


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Therefore, using dn = O n1/2k and choosing η such that C7 η 2 = 1 + 1/k, the right-hand side of
the last inequality is the general term of a convergent series which, in view of (17), completes the
proof.
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Proof of Lemma 3.4.

Since the Xi ’s are independent we get, under (H1), (H3) and (H40 )
n 
o n o
IP FbDx = 0 ∩ tbp (x) < τp (u, x) ≤ IP FbDx = 0
n
!
\
= IP {ω ∈ Ω such that Xi (ω) 6∈ B(x, h)}
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i=1
= (1 − φx (h))n ≤ exp(−nφx (h)).

Proof of Lemma 3.5.

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b x) = pFbx − Fbx (τp (u, x)). Since

First recall that τp (u, x) = tp (x) + u [nφx (h)]−1/2 σ(x) and Φ(u, D N
h i
pIE FbDx = p = F x (tp (x)), we have
h i
C

1   
b
IE −Φ(u, x) = IE K1 (x) F X1 (τp (u, x)) − F x (tp (x))
IE[K1 (x)]
  
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IE K1 (x) F X1 (τp (u, x)) − F x (τp (u, x))

= + F x (τp (u, x)) − F x (tp (x))
IE[K1 (x)]
=: I1 (x) + I2 (x). (18)

For I1 (x) we write, under (H2) and (H30 ),

 
K1 (x) F X1 (τp (u, x)) − F x (τp (u, x)) ≤ C1 hb K1 (x)

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which yields


I1 (x) = O hb .

Then using a Taylor expansion we get, under (H10 )

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I2 (x) = u [nφx (h)]−1/2 σ(x)f x (tp (x)) + o [nφx (h)]−1/2 .

The result is then a consequence of (18), under (H40 ).

US
Proof of Lemma 3.6.
We use Liapounov’s theorem (see Loève (1963, p. 275). In the first step we consider the asymptotics
of the variance term
h i   
AN
b x) = φx (h)
nφx (h)V ar Φ(u, 2 V ar K1 (x) 1I{Y1 ≤τp (u,x)} − p
IE [K1 (x)]
 2  "
#
2
IE[K1 (x)] K1 (x)(1I{Y1 ≤τp (u,x)} − p)2 K 1 (x) 1I {Y1 ≤τp (u,x)} − p
= φx (h) 2 IE 2
− φx (h)IE2
IE [K1 (x)] IE[K 1 (x)] IE[K 1 (x)]
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IE[K12 (x)]
=: φx (h) J1 (x) + J2 (x). (19)
IE2 [K1 (x)]
Conditioning wrt X1 , we prove using the triangle inequality that, under (H2)
     
1I{d(x,X1 )≤h} IE 1I{Y1 ≤τp (u,x)} kX1 − p = 1I{d(x,X1 )≤h} F X1 (τp (u, x)) − F x (tp (x))


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≤ C1 hb + u [nφx (h)]−1/2 σ(x)f x t?p (x) (20)

where t?p (x) is between tp (x) and τp (u, x). Since f x is continuous, we deduce from Theorem 3.1 that,
under (H10 ) and (H40 )
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J2 (x) = o(1). (21)

On the other hand, simple calculations lead to

 
IE K12 (x)(1I{Y1 ≤τp (u,x)} − p)
C

J1 (x) = (1 − 2p) + (p − p2 ).
IE[K12 (x)]
Using the same analytic arguments as for (20) allows us to obtain
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J1 (x) −→ p(1 − p) as n → ∞. (22)

Next, by integrating wrt the distribution of the real rv Z := d(x, X1 ), we can show that, under
(H10 ) and (H30 ) (see Ferraty and Vieu, 2006, p. 44),
Z 1
 j  j
IE K1 (x) = K (1)φx (h) − (K j )0 (s)φx (sh) ds + o (φx (h)) , j = 1, 2. (23)
0

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From (10) it follows that

φx (h)IE [K12 (x)] a2 (x)

2 −→ 2 as n → ∞. (24)
IE [K1 (x)] a1 (x)

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Then, using (19), (21), (22) and (24), we get
h i
b x) −→ p(1 − p) a2 (x) = [f x (tp (x))σ(x)]2
nφx (h)V ar Φ(u, as n → ∞. (25)
a21 (x)

US
In the second step we focus on the asymptotic normality. For this, let

1  
Mi (x) = Ki (x) 1I{Yi ≤τp (u,x)} − p .
nIE[K1 (x)]
AN
It is enough to show that for some δ > 0
n
X  
IE |Mi (x) − IE [Mi (x)] |2+δ
i=1
!!(2+δ)/2 −→ 0 as n → ∞. (26)
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n
X
V ar Mi (x)
i=1
P
From (25) it is clear that nφx (h)V ar ( ni=1 Mi (x)) converges to [f x (tp (x))σ(x)]2 as n tends to
infinity. Therefore, to conclude the proof, it is enough to show that, after normalization, the
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numerator in (26) converges to 0. Since the observations are iid, using the Cr -inequality (see Loève
(1963, p. 155), we get
n
X  2+δ 
    
(nφ(h)) (2+δ)/2
IE Mi (x) − IE [Mi (x)]  ≤ 21+δ n (nφ(h))(2+δ)/2 IE |M1 (x)|2+δ + |IE [M1 (x)] |2+δ
EP

i=1
=: N1 (x) + N2 (x). (27)
 
Observe that, according to (23), we have, for j = 1, 2, under (H10 ), IE K1j (x) = O(φx (h)). Then,
C

 φ (h) 2+δ h  2+δ i

x
N1 (x) = 21+δ n−δ/2 (φx (h))−1−δ/2 IE K12+δ (x) 1I{Y1 ≤τp (u,x)} − p
IE[K1 (x)]
AC

 φ (h) 2+δ    
1+δ −δ/2 x 2+δ
≤ 2 (nφx (h)) IE K1 (x) /φx (h) −→ 0 as n → ∞
IE[K1 (x)]

under (H10 ), (H30 ) and (H40 ). Similarly,

  
N2 (x) = 21+δ n−δ/2 (φx (h))(2+δ)/2 IE−2−δ [K1 (x)]IE2+δ K1 (x) 1I{Y ≤τp (u,x)} − p

≤ 21+δ n−δ/2 (φx (h))(2+δ)/2 → 0 as n → ∞

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which concludes the proof.
Acknowledgment. The authors are grateful to an anonymous referee whose careful reading and
appropriate remarks gave us the opportunity to improve the quality of the paper and add some

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theoretical results.

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US
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AN
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