Arbeitspapier
On adaptive smoothing in partial linear models
We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a practically feasible adaptive procedure for choice of smoothing parameters based on the principle of unbiased risk estimation.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 2001,48
- Classification
-
Wirtschaft
- Subject
-
Partial linear model
second order minimax risk
adaptive estimation
- Event
-
Geistige Schöpfung
- (who)
-
Golubev, Georgi
Härdle, Wolfgang
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049963
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Golubev, Georgi
- Härdle, Wolfgang
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2001
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