Semi-parametric regression: efficiency gains from modeling the nonparametric part
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Publication:453301
DOI10.3150/10-BEJ296zbMATH Open1345.62046arXiv1104.4410OpenAlexW2149420770MaRDI QIDQ453301FDOQ453301
Byeong U. Park, Enno Mammen, Kyusang Yu
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Abstract: It is widely admitted that structured nonparametric modeling that circumvents the curse of dimensionality is important in nonparametric estimation. In this paper we show that the same holds for semi-parametric estimation. We argue that estimation of the parametric component of a semi-parametric model can be improved essentially when more structure is put into the nonparametric part of the model. We illustrate this for the partially linear model, and investigate efficiency gains when the nonparametric part of the model has an additive structure. We present the semi-parametric Fisher information bound for estimating the parametric part of the partially linear additive model and provide semi-parametric efficient estimators for which we use a smooth backfitting technique to deal with the additive nonparametric part. We also present the finite sample performances of the proposed estimators and analyze Boston housing data as an illustration.
Full work available at URL: https://arxiv.org/abs/1104.4410
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08)
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