Showing 1 - 10 of 253
We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xβ + f + Both estimators are analysed and compared in the sense of mean-squared error. We consider the case of independent...
Persistent link: https://www.econbiz.de/10008906011
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...
Persistent link: https://www.econbiz.de/10003952788
A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each point M-estimators over different local...
Persistent link: https://www.econbiz.de/10009125532
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...
Persistent link: https://www.econbiz.de/10009767261
We consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent covariates. Based on spline smoothing, we propose data driven simultaneous...
Persistent link: https://www.econbiz.de/10010225740
We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...
Persistent link: https://www.econbiz.de/10010195959
We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional...
Persistent link: https://www.econbiz.de/10009631560
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable nonparametric estimator and the true function of interest which follow...
Persistent link: https://www.econbiz.de/10010354164
Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...
Persistent link: https://www.econbiz.de/10008772556