Local quasi-likelihood with a parametric guide

DOI10.1214/09-AOS713MaRDI QIDQ1043727zbMATH OpenWikidataFDO

Authors Yichao Wu, Yang Feng, Jianqing Fan

Publication date 9 December 2009

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.4021

zbMATH Keywords

generalized linear modellocal polynomial smoothingparametric guidequasi-likelihood method

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12)

Abstract: Generalized linear models and the quasi-likelihood method extend the ordinary regression models to accommodate more general conditional distributions of the response. Nonparametric methods need no explicit parametric specification, and the resulting model is completely determined by the data themselves. However, nonparametric estimation schemes generally have a slower convergence rate such as the local polynomial smoothing estimation of nonparametric generalized linear models studied in Fan, Heckman and Wand [J. Amer. Statist. Assoc. 90 (1995) 141--150]. In this work, we propose a unified family of parametrically-guided nonparametric estimation schemes. This combines the merits of both parametric and nonparametric approaches and enables us to incorporate prior knowledge. Asymptotic results and numerical simulations demonstrate the improvement of our new estimation schemes over the original nonparametric counterpart.

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Cited in

(23)

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• Parametrically guided generalised additive models with application to mergers and acquisitions data
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• Better the devil you know: improved forecasts from imperfect models
• Bayesian estimation of bandwidth in semiparametric kernel estimation of unknown probability mass and regression functions of count data
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• Structure discovery and parametrically guided regression
• The interplay of demographic variables and social distancing scores in deep prediction of U.S. COVID-19 cases
• On semiparametric regression for count explanatory variables
• Taylor quasi-likelihood for limited generalized linear models
• Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood
• Parametrically guided local quasi-likelihood with censored data
• Bias reduction by projection on parametric models in Hilbertian nonparametric regression
• Parametrically guided nonparametric density and hazard estimation with censored data
• GMM and misspecification correction for misspecified models with diverging number of parameters
• Semiparametric multiple kernel estimators and model diagnostics for count regression functions
• Can a Machine Correct Option Pricing Models?
• Hilbertian additive regression with parametric help

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