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Adaptive orthogonal series estimation in additive stochastic regression models

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Author Info
Rodney C Wolff
Jiti Gao
Howell Tong (School of Economics and Finance, Queensland University of Technology)

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Abstract

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation criterion, an adaptive and simultaneous estimation procedure for the nonparametric components is constructed. We illustrate the adaptive and simultaneous estimation procedure by a number of simulated and real examples.

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Publisher Info
Paper provided by School of Economics and Finance, Queensland University of Technology in its series Rodney Wolff Papers with number 2006-10.

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Date of creation: 15 Jun 2006
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Handle: RePEc:qut:rwolff:2006-10

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Related research
Keywords: Adaptive estimation; additive model; dependent process; mixing condition; nonlinear time series; nonparametric regression; orthogonal series; strict stationarity; truncation parameter;

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  1. Masry, Elias & Tj?stheim, Dag, 1997. "Additive Nonlinear ARX Time Series and Projection Estimates," Econometric Theory, Cambridge University Press, vol. 13(02), pages 214-252, April. [Downloadable!]
  2. J. Fan & W. H"Ardle & E. Mammen, . "Direct estimation of low dimensional components in additive models," Sonderforschungsbereich 373 1996-17, Humboldt Universitaet Berlin.
  3. Gallant, A. Ronald & Souza, Geraldo, 1991. "On the asymptotic normality of Fourier flexible form estimates," Journal of Econometrics, Elsevier, vol. 50(3), pages 329-353, December. [Downloadable!] (restricted)
  4. Vieu, Philippe, 1994. "Choice of regressors in nonparametric estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 575-594, June. [Downloadable!] (restricted)
  5. Boente, Graciela & Fraiman, Ricardo, 1988. "Consistency of a nonparametric estimate of a density function for dependent variables," Journal of Multivariate Analysis, Elsevier, vol. 25(1), pages 90-99, April. [Downloadable!] (restricted)
  6. repec:cup:etheor:v:13:y:1997:i:2:p:214-52 is not listed on IDEAS
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