Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood
Publication
, Journal Article
Davenport, CA; Maity, A; Wu, Y
Published in: Journal of Nonparametric Statistics
April 3, 2015
Varying coefficient models (VCMs) allow us to generalise standard linear regression models to incorporate complex covariate effects by modelling the regression coefficients as functions of another covariate. For nonparametric varying coefficients, we can borrow the idea of parametrically guided estimation to improve asymptotic bias. In this paper, we develop a guided estimation procedure for the nonparametric VCMs. Asymptotic properties are established for the guided estimators and a method of bandwidth selection via bias-variance tradeoff is proposed. We compare the performance of the guided estimator with that of the unguided estimator via both simulation and real data examples.
Duke Scholars
Published In
Journal of Nonparametric Statistics
DOI
EISSN
1029-0311
ISSN
1048-5252
Publication Date
April 3, 2015
Volume
27
Issue
2
Start / End Page
195 / 213
Related Subject Headings
- Statistics & Probability
- 1403 Econometrics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Davenport, C. A., Maity, A., & Wu, Y. (2015). Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood. Journal of Nonparametric Statistics, 27(2), 195–213. https://doi.org/10.1080/10485252.2015.1026903
Davenport, C. A., A. Maity, and Y. Wu. “Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood.” Journal of Nonparametric Statistics 27, no. 2 (April 3, 2015): 195–213. https://doi.org/10.1080/10485252.2015.1026903.
Davenport CA, Maity A, Wu Y. Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood. Journal of Nonparametric Statistics. 2015 Apr 3;27(2):195–213.
Davenport, C. A., et al. “Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood.” Journal of Nonparametric Statistics, vol. 27, no. 2, Apr. 2015, pp. 195–213. Scopus, doi:10.1080/10485252.2015.1026903.
Davenport CA, Maity A, Wu Y. Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood. Journal of Nonparametric Statistics. 2015 Apr 3;27(2):195–213.
Published In
Journal of Nonparametric Statistics
DOI
EISSN
1029-0311
ISSN
1048-5252
Publication Date
April 3, 2015
Volume
27
Issue
2
Start / End Page
195 / 213
Related Subject Headings
- Statistics & Probability
- 1403 Econometrics
- 0104 Statistics