Estimating additive nonparametric models by partial Lq norm: the curse of fractionality

We propose a new method for estimating additive nonparametric regression models based on taking the Lq median of a sample of kernel estimators. We establish the consistency and asymptotic normality of our procedures. The rate of convergence depends on the value of q. For q > 3/2 one has the usual one-dimensional rate, but if q [less-than-or-equal] 3/2 the rate can be slower.

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Year of publication:	2001-12
Authors:	Linton, Oliver
Institutions:	London School of Economics (LSE)

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Econometric Theory, December, 2001, 17(6), pp. 1037-1050. ISSN: 0266-4666
Classification:	J1 - Demographic Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010746524