Efficient estimation for error component seemingly unrelated nonparametric regression models

Metrika ◽  
2009 ◽  
Vol 73 (1) ◽  
pp. 121-138 ◽  
Author(s):  
Bin Zhou ◽  
Qinfeng Xu ◽  
Jinhong You
Keyword(s):  
Nonparametric Regression ◽  
Regression Models ◽  
Error Component ◽  
Efficient Estimation

scholarly journals Robust adaptive efficient estimation for semi-Markov nonparametric regression models

2018 ◽  
Vol 22 (2) ◽  
pp. 187-231 ◽  
Author(s):  
Vlad Stefan Barbu ◽  
Slim Beltaief ◽  
Sergey Pergamenshchikov
Keyword(s):  
Nonparametric Regression ◽  
Regression Models ◽  
Efficient Estimation ◽  
Robust Adaptive

EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS

2000 ◽  
Vol 16 (4) ◽  
pp. 502-523 ◽  
Author(s):  
Oliver B. Linton
Keyword(s):  
Nonparametric Regression ◽  
Regression Models ◽  
Exponential Family ◽  
Efficient Estimation ◽  
Conditional Heteroskedasticity ◽  
Criterion Functions ◽  
Special Cases ◽  
Multiple Parameter ◽  
Additive Nonparametric Regression ◽  
New Procedures

We define new procedures for estimating generalized additive nonparametric regression models that are more efficient than the Linton and Härdle (1996, Biometrika 83, 529–540) integration-based method and achieve certain oracle bounds. We consider criterion functions based on the Linear exponential family, which includes many important special cases. We also consider the extension to multiple parameter models like the gamma distribution and to models for conditional heteroskedasticity.

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