Local linear estimation in partly linear models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:60

Article

Hamilton, SA ; Truong, YK

关键词: partial linear models;    semi-parametric models;    design-adaptive;    nonparametric regression;    local polynomial estimator;    optimal rate of convergence;   

DOI  :  10.1006/jmva.1996.1642

来源: Elsevier

【 摘 要 】

Let (X, B, Y) denote a random vector such that B and Y are real-valued, and XER(2). Local linear estimates are used in the partial regression method for estimating the regression function E(Y/X,B)=alpha B+m(X), where alpha is an unknown parameter, and m(.) is a smooth function. Under appropriate conditions, asymptotic distributions of estimates of alpha and m(.) are established. Moreover, it is shown that these estimates achieve the best possible rates of convergence in the indicated semi-parametric problems. (C) 1997 Academic Press.

【 授权许可】

Free