Robust adaptive estimation for semivarying coefficient models

A novel and robust method is proposed by combining the idea of the modal regression estimation (Yao et al., 2012) and spline based shrinkage estimation method (Lian, 2012). The newly proposed method can simultaneously estimate and separate constant coefficients from varying coefficients and its performance is illustrated by simulation studies.

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Year of publication:	2015
Authors:	Zhao, Weihua ; Zhang, Riquan ; Liu, Jicai ; Hu, Hongchang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 132-141
Publisher:	Elsevier
Subject:	B-spline \| Modal regression \| Robustness \| Semivarying coefficient model \| Shrinkage estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189339