On adaptive estimation in partial linear models

We consider a problem of estimation of parametric component in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a practically feasible adaptive procedure for choke of smoothing parameters based on the principle of unbiased risk estimation.

MoreLess

Year of publication:	2000
Authors:	Golubev, Georgi ; Härdle, Wolfgang
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

More details

Series:	SFB 373 Discussion Paper ; 2000,21
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	723726558 [GVK] hdl:10419/62218 [Handle] RePEc:zbw:sfb373:200021 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310233