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Partially linear varying coefficient models stratified by a functional covariate

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  • Maity, Arnab
  • Huang, Jianhua Z.
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    Abstract

    We consider the problem of estimation in semiparametric varying coefficient models where the covariate modifying the varying coefficients is functional and is modeled nonparametrically. We develop a kernel-based estimator of the nonparametric component and a profiling estimator of the parametric component of the model, and derive their asymptotic properties. Specifically, we show the consistency of the nonparametric functional estimates and derive the asymptotic expansion of the estimates of the parametric component. We illustrate the performance of our methodology using a simulation study and a real data application.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 82 (2012)
    Issue (Month): 10 ()
    Pages: 1807-1814

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    Handle: RePEc:eee:stapro:v:82:y:2012:i:10:p:1807-1814

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    Related research

    Keywords: Functional regression; Kernel smoothing; Profile method; Semi-varying coefficient model;

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    1. Aneiros-Pérez, Germán & Vieu, Philippe, 2006. "Semi-functional partial linear regression," Statistics & Probability Letters, Elsevier, vol. 76(11), pages 1102-1110, June.
    2. Aneiros-Pérez, Germán & Vieu, Philippe, 2008. "Nonparametric time series prediction: A semi-functional partial linear modeling," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 834-857, May.
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