Projection-type estimation for varying coefficient regression models

DOI10.3150/10-BEJ331MaRDI QIDQ408095zbMATH OpenOpenAlexFDO

Authors Young K. Lee, Enno Mammen, Byeong U. Park

Publication date 29 March 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.0403

zbMATH Keywords

kernel smoothingvarying coefficient modelslocal polynomial regressionsmooth backfittingoracle propertiesmarginal integration

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper we introduce new estimators of the coefficient functions in the varying coefficient regression model. The proposed estimators are obtained by projecting the vector of the full-dimensional kernel-weighted local polynomial estimators of the coefficient functions onto a Hilbert space with a suitable norm. We provide a backfitting algorithm to compute the estimators. We show that the algorithm converges at a geometric rate under weak conditions. We derive the asymptotic distributions of the estimators and show that the estimators have the oracle properties. This is done for the general order of local polynomial fitting and for the estimation of the derivatives of the coefficient functions, as well as the coefficient functions themselves. The estimators turn out to have several theoretical and numerical advantages over the marginal integration estimators studied by Yang, Park, Xue and H"{a}rdle [J. Amer. Statist. Assoc. 101 (2006) 1212--1227].

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Cited in

(22)

• On two-step estimation for varying coefficient models
• Estimation and hypothesis test for varying coefficient single-index multiplicative models
• Non-asymptotic approach to varying coefficient model
• Estimation for semiparametric varying coefficient models with different smoothing variables under random right censoring
• Two-stage local Walsh average estimation of generalized varying coefficient models
• Varying coefficient models having different smoothing variables with randomly censored data
• Additive regression for predictors of various natures and possibly incomplete Hilbertian responses
• Generalized partially linear varying coefficient models with multiple smoothing variables
• Varying Coefficient Regression Models: A Review and New Developments
• Efficient estimation for partially linear varying coefficient models when coefficient functions have different smoothing variables
• Penalized kernel quantile regression for varying coefficient models
• Smooth backfitting for errors-in-variables additive models
• Time-dynamic varying coefficient models for longitudinal data
• Varying coefficient regression: revisit and parametric help
• Empirical likelihood for generalized functional-coefficient regression models with multiple smoothing variables under right censoring data
• Smooth backfitting for errors-in-variables varying coefficient regression models
• Time-Varying Additive Models for Longitudinal Data
• Flexible generalized varying coefficient regression models
• Sparse regression for low-dimensional time-dynamic varying coefficient models with application to air quality data
• Efficient estimation of varying coefficient models with serially correlated errors
• Further theoretical and practical insight to the do-validated bandwidth selector
• Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration

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