Arbeitspapier
Consistency of a least squares orthonormal series estimator for a regression function
This paper establishes the almost. sure consistency of least. squares regression series estimators, in the L2-norm and the sup-norm, under very large assumptions on the underlying model. Three examples are considered in order to illustrate the general results: trigonometric series, Legendre polynomials and wavelet. series estimators. Then optimal choices for the number of functions in the series are discussed and convergence rates are derived. It is shown that. for the wavelet. case, the best. possible convergence rate is attained.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 2000,7
- Classification
-
Wirtschaft
- Subject
-
nonparametric regression
orthonormal series estimators
least squares
almost sure consistency
convergence rates
trigonometric series
Legendre polynomials
wavelets
- Event
-
Geistige Schöpfung
- (who)
-
Delecroix, Michel
Protopopescu, Camelia
- Event
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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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2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047116
- 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
- Delecroix, Michel
- Protopopescu, Camelia
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2000
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