Estimating additive nonparametric models by partial Lq norm: the curse of fractionality
AbstractWe propose a new method for estimating additive nonparametric regression models based on taking the Lq median of a sample of kernel estimators. We establish the consistency and asymptotic normality of our procedures. The rate of convergence depends on the value of q. For q > 3/2 one has the usual one-dimensional rate, but if q [less-than-or-equal] 3/2 the rate can be slower.
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Bibliographic InfoPaper provided by London School of Economics and Political Science in its series Open Access publications from London School of Economics and Political Science with number http://eprints.lse.ac.uk/319/.
Date of creation: Dec 2001
Date of revision:
Publication status: Published in Econometric theory (2001-12) v.17, p.1037-1050
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Web page: http://www.lse.ac.uk
Other versions of this item:
- Linton, Oliver, 2001. "ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY," Econometric Theory, Cambridge University Press, vol. 17(06), pages 1037-1050, December.
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- Linton, Oliver, 2000.
"Efficient estimation of generalized additive nonparametric regression models,"
Open Access publications from London School of Economics and Political Science
http://eprints.lse.ac.uk/, London School of Economics and Political Science.
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/2009/535, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010. "Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1529-1564, October.
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