Local Linear Estimation in Partly Linear Models
Let (X,Â B,Â Y) denote a random vector such thatBandYare real-valued, andX[set membership, variant]2. Local linear estimates are used in the partial regression method for estimating the regression functionE(Y|X,Â B)=[alpha]B+m(X), where[alpha]is an unknown parameter, andm(Â·) is a smooth function. Under appropriate conditions, asymptotic distributions of estimates of[alpha]andm(Â·) are established. Moreover, it is shown that these estimates achieve the best possible rates of convergence in the indicated semi-parametric problems.
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Volume (Year): 60 (1997)
Issue (Month): 1 (January)
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