Efficient estimation in a semiparametric additive regression model with autoregressive errors

DOI10.1016/0304-4149(95)00093-3MaRDI QIDQ1915842zbMATH OpenOpenAlexFDO

Authors Anton Schick

Publication date 1 September 1996

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(95)00093-3

zbMATH Keywords

stationary AR(1) processefficient estimatessemiparametric additive regression modelunknown Lipschitz-continuous function

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• On adaptive estimation
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Cited in

(22)

• L₁ penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors
• Asymptotic properties in partial linear models under dependence
• Semiparametric estimation in the (auto)-regressive -mixing model with errors-in-variables
• Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
• Root-n-consistent semiparametric estimation of partially linear models for weakly dependent observations
• Truncated estimator of asymptotic covariance matrix in partially linear models with heteroscedastic errors
• Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
• Plug-in bandwidth choice in partial linear models with autoregressive errors
• Uniform convergence rate of estimators of autocovariances in partly linear regression models with correlated errors
• Positive shrinkage, improved pretest and absolute penalty estimators in partially linear models
• PARAMETER ESTIMATION IN A PARTLY LINEAR REGRESSION MODEL WITH RANDOM COEFFICIENT AUTOREGRESSIVE ERRORS
• A note on efficient density estimators of convolutions
• On a semiparametric regression model whose errors form a linear process with negatively associated innovations
• Estimation of the autocorrelation coefficient in the presence of a regression trend
• CONVERGENCE RATES OF ESTIMATORS IN PARTIAL LINEAR REGRESSION MODELS WITH MA(∞) ERROR PROCESS
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• Semiparametric Ridge Regression Approach in Partially Linear Models
• On semiparametric familial\,-\,longitudinal models
• A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors
• Seemingly unrelated ridge regression in semiparametric models
• Jackknife Estimation for Smooth Functions of the Parametric Component in Partially Linear Regression Models
• SHRINKAGE, PRETEST AND ABSOLUTE PENALTY ESTIMATORS IN PARTIALLY LINEAR MODELS

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