Estimation theory of a class of semiparametric regression models

MaRDI QIDQ1201630zbMATH OpenFDO

Publication date 17 January 1993

Published in Science in China. Series A (Search for Journal in Brave)

asymptotic normality combination of nearest neighbor rule and the least squares method explanatory variables optimal convergence rate semiparametric regression model

Mathematics Subject Classification ID

Density estimation (62G07) General nonlinear regression (62J02)

Review text

Let \(y=x\beta+g(T)+\varepsilon\) be a semiparametric regression model, where \(x=(x_ 1,\dots,x_ p)\) are explanatory variables that enter linearly, \(T\) is another explanatory variable with support \([0,1]\), entering in a nonlinear fashion, \(\beta\) is a \(p\times 1\) vector of unknown parameters, \(g(\cdot)\) is an unknown smooth function of \(T\) in \([0,1]\), and \(\varepsilon\) is the random error with mean 0 and variance \(\sigma^ 2\). It is assumed that \((x,T)\) and \(\varepsilon\) are independent. Given a sample of \(n\) observations, estimates \(\widehat\beta_ n\) and \(\widehat g_ n\) of \(\beta\) and \(g\) are obtained, based on a combination of nearest neighbor rule and the least squares method. Under suitable conditions it is shown that \(\sqrt{n}(\widehat\beta_ n-\beta)\) is asymptotically normal and that \(\widehat g_ n\) converges to \(g\) with the optimal convergence rate \(n^{-1/3}\). A \(\sqrt{n}\)-consistent estimate of \(\sigma^ 2\) is also given.

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