کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146762 957529 2009 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonparametric regression estimation with general parametric error covariance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Nonparametric regression estimation with general parametric error covariance
چکیده انگلیسی

The asymptotic distribution for the local linear estimator in nonparametric regression models is established under a general parametric error covariance with dependent and heterogeneously distributed regressors. A two-step estimation procedure that incorporates the parametric information in the error covariance matrix is proposed. Sufficient conditions for its asymptotic normality are given and its efficiency relative to the local linear estimator is established. We give examples of how our results are useful in some recently studied regression models. A Monte Carlo study confirms the asymptotic theory predictions and compares our estimator with some recently proposed alternative estimation procedures.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 100, Issue 3, March 2009, Pages 309–333
نویسندگان
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