Resumen
It has been established recently in Efromovich [2005. Estimation of the density of regression errors. Ann. Statist. 33, 2194-2227] that, under a mild assumption, the error density in a nonparametric regression can be asymptotically estimated with the accuracy of an oracle that knows underlying regression errors. The asymptotic nature of the result, and in particular the used methodology of splitting data for estimating nuisance functions and the error density, does not make an asymptotic estimator, suggested in that article, feasible for practically interesting cases of small sample sizes. This article continues the research and solves two important issues. First, it shows that the asymptotic holds without splitting the data. Second, a data-driven estimator, based on the new asymptotic, is suggested and then tested on real and simulated examples.