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1999-01-14Buch DOI: 10.18452/3677
Estimation in an additive model when the components are linked parametrically
dc.contributor.authorCarroll, Raymond J.
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorMammen, Enno
dc.date.accessioned2017-06-15T21:46:10Z
dc.date.available2017-06-15T21:46:10Z
dc.date.created2006-01-12
dc.date.issued1999-01-14
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4329
dc.description.abstractMotivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure is based on two steps. In the first step nonparametric smoothers are used for the estimation of each additive component without taking into account the parametric link of the functions. In a second step the parameter is estimated by using the parametric restriction between the additive components. Interestingly, our method needs no undersmoothing in the first step.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFinanceeng
dc.subjectNonparametric Regressioneng
dc.subjectAdditive Modelseng
dc.subjectAsymptoticseng
dc.subjectAutoregressioneng
dc.subjectGARCH Modelseng
dc.subjectMeasurement Erroreng
dc.subjectTime Serieseng
dc.subject.ddc330 Wirtschaft
dc.titleEstimation in an additive model when the components are linked parametrically
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10055992
dc.identifier.doihttp://dx.doi.org/10.18452/3677
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages25
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1999
local.edoc.container-issue1
local.edoc.container-year1999
local.edoc.container-erstkatid2135319-0

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