Boundary Adaptive Local Polynomial Conditional Density Estimators

We begin by introducing a class of conditional density estimators based on local polynomial techniques. The estimators are automatically boundary adaptive and easy to implement. We then study the (pointwise and) uniform statistical properties of the estimators, offering nonasymptotic characterizations of both probability concentration and distributional approximation. In particular, we establish optimal uniform convergence rate in probability and valid Gaussian distributional approximations for the t-statistic process indexed over the data support. We also discuss implementation issues such as consistent estimation of the covariance function of the Gaussian approximation, optimal integrated mean squared error bandwidth selection, and valid robust bias-corrected inference. We illustrate the applicability of our results by constructing valid confidence bands and hypothesis tests for both parametric specification and shape constraints, explicitly characterizing their nonasymptotic approximation probability errors. A companion R software package implementing our main results is provided.