Nonparametric estimation when data on derivatives are available

DOI10.1214/009053606000001127MaRDI QIDQ997381zbMATH OpenOpenAlexFDO

Authors Adonis Yatchew, Peter Hall

Publication date 23 July 2007

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

Full work available at URL https://arxiv.org/abs/0708.0506

zbMATH Keywords

dimension reductionkernel methodsrates of convergencestatistical smoothingpartial derivative datacost function estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Production theory, theory of the firm (91B38)

Abstract: We consider settings where data are available on a nonparametric function and various partial derivatives. Such circumstances arise in practice, for example in the joint estimation of cost and input functions in economics. We show that when derivative data are available, local averages can be replaced in certain dimensions by nonlocal averages, thus reducing the nonparametric dimension of the problem. We derive optimal rates of convergence and conditions under which dimension reduction is achieved. Kernel estimators and their properties are analyzed, although other estimators, such as local polynomial, spline and nonparametric least squares, may also be used. Simulations and an application to the estimation of electricity distribution costs are included.

Recommendations

• Nonparametric least squares estimation in derivative families
• The estimation of derivatives of a nonparametric regression function when the data are correlated
• Optimal estimation of derivatives in nonparametric regression
• Nonparametric, multidimensional estimation of regression derivatives.
• scientific article; zbMATH DE number 4100414

Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3673807 (Why is no real title available?)
• scientific article; zbMATH DE number 472973 (Why is no real title available?)
• scientific article; zbMATH DE number 3992753 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Additive regression and other nonparametric models
• Direct estimation of low-dimensional components in additive models.
• Generalized additive models
• Linear smoothers and additive models
• Multivariate adaptive regression splines
• Nonparametric estimators which can be ``plugged-in.
• Optimal global rates of convergence for nonparametric regression
• Optimal rates of convergence for nonparametric estimators
• Projection pursuit
• Projection-based approximation and a duality with kernel methods
• Semiparametric Regression for the Applied Econometrician
• Smoothing methods in statistics

Cited in

(3)

• Nonparametric least squares estimation in derivative families
• Posterior contraction rates of density derivative estimation
• Average derivation estimation with multiplicative distortion measurement errors

Describes a project that uses

Uses Software

• KernSmooth

This page was built for publication: Nonparametric estimation when data on derivatives are available

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997381)