Robust functional estimation in the multivariate partial linear model
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Abstract: We consider the problem of adaptive estimation of the functional component in a multivariate partial linear model where the argument of the function is defined on a -dimensional grid. Obtaining an adaptive estimator of this functional component is an important practical problem in econometrics where exact distributions of random errors and the parametric component are mostly unknown and cannot safely assumed to be normal. An estimator of the functional component that is adaptive in the mean squared sense over the wide range of multivariate Besov classes and robust to a wide choice of distributions of the linear component and random errors is constructed. It is also shown that the same estimator is locally adaptive over the same range of Besov classes and robust over large collections of distributions of the linear component and random errors as well. At any fixed point, this estimator also attains a local adaptive minimax rate. The procedure needed to obtain such an estimator turns out to depend on the choice of the right shrinkage approach in the wavelet domain. We show that one possible approach is to use the multivariate version of the classical BlockJS method. The multivariate version of BlockJS is developed in the manuscript and is shown to represent an independent interest. Finally, the Besov space scale over which the proposed estimator is locally adaptive is shown to depend on the dimensionality of the domain of the functional component; the higher the dimension, the larger the smoothness indicator of Besov spaces must be.
The author considers a multivariate regression model of the form \[ Y_i = a + X'_i\beta + f(U_i) + \xi_i \] where the first two components represent the linear part of the model, the third component captures the nonlinear part, and the \(\xi_i\)'s are error terms with null median. Each \(U_i\) is a \(q\)-dimensional vector with coordinates on an equispaced grid on \([0,1]\). An adaptive estimator for the functional part of such a model is defined, and its properties in terms of robustness are proved. In particular, the proposed estimator is robust to a wide choice of distributions of the linear part and of the random errors. Robustness is particularly useful in econometrics where the distribution of the \(X_i\)'s is often not known, and the distributions of the error terms are far from being normally distributed.
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