Robust functional estimation in the multivariate partial linear model

DOI10.1007/S10463-018-0661-1MaRDI QIDQ2317880zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 13 August 2019

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.08977

zbMATH Keywords

medianrobust estimationadaptive estimationmultivariate Besov spacemultivariate partial linear model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Estimation in multivariate analysis (62H12)

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 $q$-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.

Recommendations

• Robust estimation for partial functional linear additive model based on modal regression
• Multivariate functional least squares
• On adaptive smoothing in partial linear models
• Robust estimators in semi-functional partial linear regression models
• Robust estimates in generalized partially linear models

Cites work

• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 46578 (Why is no real title available?)
• scientific article; zbMATH DE number 3608615 (Why is no real title available?)
• scientific article; zbMATH DE number 1313655 (Why is no real title available?)
• scientific article; zbMATH DE number 739533 (Why is no real title available?)
• scientific article; zbMATH DE number 1471714 (Why is no real title available?)
• scientific article; zbMATH DE number 750000 (Why is no real title available?)
• A semiparametric multivariate partially linear model: a difference approach
• Adaptive wavelet estimation: A block thresholding and oracle inequality approach
• Asymptotic equivalence theory for nonparametric regression with random design
• Bivariate tensor-product B-splines in a partly linear model
• Estimating the error distribution function in semiparametric additive regression models
• Estimation for a partial-linear single-index model
• Hyperbolic wavelet thresholding methods and the curse of dimensionality through the maxiset approach
• Interpolation methods for nonlinear wavelet regression with irregularly spaced design
• Minimax rate of convergence for an estimator of the functional component in a semiparametric multivariate partially linear model
• Multivariate density estimation. Theory, practice, and visualization
• Multivariate orthogonal series estimates for random design regression
• On non-equally spaced wavelet regression
• Robust nonparametric estimation via wavelet median regression
• Root-N-Consistent Semiparametric Regression
• Root-n consistent estimation in partly linear regression models
• Semiparametric and nonparametric methods in econometrics
• Ten Lectures on Wavelets
• Theory of function spaces. III
• Wavelet regression for random or irregular design.
• Wavelet shrinkage for nonequispaced samples
• Wavelet threshold estimation of a regression function with random design

Cited in

(10)

• Robust estimation for varying coefficient partially functional linear regression models based on exponential squared loss function
• Robust estimation with a modified Huber's loss for partial functional linear models based on splines
• Robust estimation for partial functional linear regression model based on modal regression
• Multivariate functional least squares
• Robust shrinkage estimation and selection for functional multiple linear model through LAD loss
• Robust inference in a linear functional model with replications using the \(t\) distribution
• Nonlinear regression models with profile nonlinear least squares estimation
• Robust linear functional mixed models
• Estimation and inference in partially functional linear regression with multiple functional covariates
• Robust estimation in functional comparative calibration models via maximum \(\mathrm{L}q\)-likelihood

This page was built for publication: Robust functional estimation in the multivariate partial linear model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2317880)