Arbeitspapier
On adaptive smoothing in partial linear models
We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a practically feasible adaptive procedure for choice of smoothing parameters based on the principle of unbiased risk estimation.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,48
- Klassifikation
-
Wirtschaft
- Thema
-
Partial linear model
second order minimax risk
adaptive estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Golubev, Georgi
Härdle, Wolfgang
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049963
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Golubev, Georgi
- Härdle, Wolfgang
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
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