Oracally Efficient Two-Step Estimation of Generalized Additive Model
dc.contributor.author | Liu, Rong | |
dc.contributor.author | Yang, Lijian | |
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.date.accessioned | 2017-06-16T00:19:11Z | |
dc.date.available | 2017-06-16T00:19:11Z | |
dc.date.created | 2011-04-19 | |
dc.date.issued | 2011-03-14 | |
dc.date.submitted | 2011-03-14 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4958 | |
dc.description.abstract | Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency. The SBK techniques is both computational expedient and theoretically reliable, thus usable for analyzing high-dimensional time series. Inference can be made on component functions based on asymptotic normality. Simulation evidence strongly corroborates with the asymptotic theory. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | mixing | eng |
dc.subject | Bandwidths | eng |
dc.subject | B spline | eng |
dc.subject | knots | eng |
dc.subject | link function | eng |
dc.subject | Nadaraya-Watson estimator | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Oracally Efficient Two-Step Estimation of Generalized Additive Model | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-100185844 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4306 | |
local.edoc.pages | 44 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2011 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2011,16 |