Arbeitspapier
Nonparametric estimation of an additive model with a link function
This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n-2/5. This is true regardless of the (finite) dimension of the explanatory variable. Thus, in contrast to the existing asymptotically normal estimator, the new estimator has no curse of dimensionality. Moreover, the asymptotic distribution of each additive component is the same as it would be if the other components were known with certainty.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP19/02
- Klassifikation
-
Wirtschaft
- Thema
-
Additive models , multivariate curve estimation , nonparametric regression , kernel estimates , orthogonal series estimator
Nichtparametrisches Verfahren
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Horowitz, Joel
Mammen, Enno
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2002
- DOI
-
doi:10.1920/wp.cem.2002.1902
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Horowitz, Joel
- Mammen, Enno
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2002
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