Monte Carlo evidence on adaptive maximum likelihood estimation of a regression

DOI10.1214/aos/1176350359zbMath0621.62034OpenAlexW2089892975MaRDI QIDQ1090025

David A. Hsieh, Charles F. Manski

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1214/aos/1176350359

zbMATH Keywords

adaptive maximum likelihood estimatesdata-based bootstrap methodestimating the score functionfixed sample size propertiesselecting the smoothing and trimming parameters

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Related Items

Higher order kernels in adaptive location estimation^∗, Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form, Some forecasting applications of partially adaptive estimators of ARIMA models, A regression approach for estimating the center of symmetry, A Comparison of Partially Adaptive and Reweighted Least Squares Estimation, Empirical process approach in a two-sample location-scale model with censored data, Optimal smoothing in adaptive location estimation, A multi-step kernel–based regression estimator that adapts to error distributions of unknown form, On the robustness of two alternatives to least squares: A Monte Carlo study, Finite sample properties of adaptive regression estimators, Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors, On the performance of the flexible maximum entropy distributions within partially adaptive estimation, A note on partially adaptive estimation via a normal mixture, Second order approximation in a linear regression with heteroskedasticity of unknown form, Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection, Adaptive estimation in time series regression models, How sensitive are average derivatives?, Approximate maximum likelihood estimation in linear regression, Adaptive estimation of regression models via moment restrictions, Estimation in two sample type II censoring models, Construction of credible intervals for nonlinear regression models with unknown error distributions, Adaptive estimation of cointegrating regressions with ARMA errors, Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators, Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics., Tests against inequality constraints in semiparametric models, Partially adaptive estimation of nonlinear models via a normal mixture, Partially adaptive estimation of autoregressive processes via a normal mixture