On adaptive smoothing in partial linear models

We consider a problem of estimation of parametric components 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 choice of smoothing parameters based on the principle of unbiased risk estimation.

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Year of publication:	2001
Authors:	Golubev, Georgi ; Härdle, Wolfgang
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	Partial linear model \| second order minimax risk \| adaptive estimation

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001,48
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983766