Xia, YC and Zhang, W.Y. and Tong, H. (2004) Efficient estimation for semivarying-coefficient models. Biometrika, 91 (3). pp. 661-681. ISSN 0006-3444.
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| Official URL http://dx.doi.org/10.1093/biomet/91.3.661 |
Abstract
Motivated by two practical problems, we propose a new procedure for estimating a semivarying-coefficient model. Asymptotic properties are established which show that the bias of the parameter estimator is of order h(3) when a symmetric kernel is used, where h is the bandwidth, and the variance is of order n(-1) and efficient in the semiparametric sense. Undersmoothing is unnecessary for the root-n consistency of the estimators. Therefore, commonly used bandwidth selection methods can be employed. A model selection method is also developed. Simulations demonstrate how the proposed method works. Some insights are obtained into the two motivating problems by using the proposed models.
| Item Type: | Article |
|---|---|
| Uncontrolled keywords: | efficient estimator; local linear; semivarying-coefficient model; strong alpha-mixing; varying-coefficient model |
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science |
| Depositing User: | Judith Broom |
| Date Deposited: | 19 Dec 2007 18:22 |
| Last Modified: | 14 Jan 2010 13:59 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/601 (The current URI for this page, for reference purposes) |
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