Estimation in an additive model when the components are linked parametrically
Motivated by a nonparametric GARCH model we consider nonparametric additive 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 step...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
17 May 2002
|
| In: |
Econometric theory
Year: 2002, Jahrgang: 18, Heft: 4, Pages: 886-912 |
| ISSN: | 1469-4360 |
| DOI: | 10.1017/S0266466602184040 |
| Online-Zugang: | Verlag, Volltext: http://dx.doi.org/10.1017/S0266466602184040 Verlag, Volltext: https://www.cambridge.org/core/journals/econometric-theory/article/estimation-in-an-additive-model-when-the-components-are-linked-parametrically/4F3A9BA80553D3052855C0DF9A6514B7 
|
| Verfasserangaben: | Raymond J. Carroll, Wolfgang Härdle, Enno Mammen |
MARC
| LEADER | 00000caa a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 1568109695 | ||
| 003 | DE-627 | ||
| 005 | 20220814065529.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 180206s2002 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1017/S0266466602184040 |2 doi | |
| 035 | |a (DE-627)1568109695 | ||
| 035 | |a (DE-576)498109690 | ||
| 035 | |a (DE-599)BSZ498109690 | ||
| 035 | |a (OCoLC)1340986456 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a 27 |2 sdnb | ||
| 100 | 1 | |a Carroll, Raymond J. |d 1949- |e VerfasserIn |0 (DE-588)111805708 |0 (DE-627)654710899 |0 (DE-576)338817077 |4 aut | |
| 245 | 1 | 0 | |a Estimation in an additive model when the components are linked parametrically |c Raymond J. Carroll, Wolfgang Härdle, Enno Mammen |
| 264 | 1 | |c 17 May 2002 | |
| 300 | |a 27 | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 500 | |a Gesehen am 06.02.2018 | ||
| 520 | |a Motivated by a nonparametric GARCH model we consider nonparametric additive 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. | ||
| 700 | 1 | |a Härdle, Wolfgang |d 1953- |e VerfasserIn |0 (DE-588)110357116 |0 (DE-627)546377173 |0 (DE-576)165333545 |4 aut | |
| 700 | 1 | |a Mammen, Enno |d 1955- |e VerfasserIn |0 (DE-588)170668606 |0 (DE-627)060788658 |0 (DE-576)13153159X |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |t Econometric theory |d Cambridge : Cambridge Univ. Press, 1985 |g 18(2002), 4, Seite 886-912 |h Online-Ressource |w (DE-627)306713284 |w (DE-600)1501041-7 |w (DE-576)082437025 |x 1469-4360 |7 nnas |a Estimation in an additive model when the components are linked parametrically |
| 773 | 1 | 8 | |g volume:18 |g year:2002 |g number:4 |g pages:886-912 |g extent:27 |a Estimation in an additive model when the components are linked parametrically |
| 856 | 4 | 0 | |u http://dx.doi.org/10.1017/S0266466602184040 |x Verlag |x Resolving-System |3 Volltext |
| 856 | 4 | 0 | |u https://www.cambridge.org/core/journals/econometric-theory/article/estimation-in-an-additive-model-when-the-components-are-linked-parametrically/4F3A9BA80553D3052855C0DF9A6514B7 |x Verlag |3 Volltext |
| 951 | |a AR | ||
| 992 | |a 20180206 | ||
| 993 | |a Article | ||
| 994 | |a 2002 | ||
| 998 | |g 170668606 |a Mammen, Enno |m 170668606:Mammen, Enno |d 110000 |d 110200 |d 110000 |d 110400 |e 110000PM170668606 |e 110200PM170668606 |e 110000PM170668606 |e 110400PM170668606 |k 0/110000/ |k 1/110000/110200/ |k 0/110000/ |k 1/110000/110400/ |p 3 |y j | ||
| 999 | |a KXP-PPN1568109695 |e 299536268X | ||
| BIB | |a Y | ||
| SER | |a journal | ||
| JSO | |a {"person":[{"display":"Carroll, Raymond J.","family":"Carroll","given":"Raymond J.","role":"aut"},{"family":"Härdle","display":"Härdle, Wolfgang","role":"aut","given":"Wolfgang"},{"display":"Mammen, Enno","family":"Mammen","given":"Enno","role":"aut"}],"id":{"eki":["1568109695"],"doi":["10.1017/S0266466602184040"]},"type":{"media":"Online-Ressource","bibl":"article-journal"},"physDesc":[{"extent":"27 S."}],"relHost":[{"origin":[{"dateIssuedKey":"1985","dateIssuedDisp":"1985-","publisher":"Cambridge Univ. Press","publisherPlace":"Cambridge"}],"language":["eng"],"note":["Fortsetzung der Druck-Ausgabe","Gesehen am 18.04.24"],"recId":"306713284","pubHistory":["1.1985 -"],"part":{"issue":"4","pages":"886-912","year":"2002","volume":"18","text":"18(2002), 4, Seite 886-912","extent":"27"},"disp":"Estimation in an additive model when the components are linked parametricallyEconometric theory","titleAlt":[{"title":"ET"}],"physDesc":[{"extent":"Online-Ressource"}],"title":[{"title_sort":"Econometric theory","title":"Econometric theory"}],"type":{"bibl":"periodical","media":"Online-Ressource"},"id":{"issn":["1469-4360"],"eki":["306713284"],"zdb":["1501041-7"]}}],"title":[{"title":"Estimation in an additive model when the components are linked parametrically","title_sort":"Estimation in an additive model when the components are linked parametrically"}],"name":{"displayForm":["Raymond J. Carroll, Wolfgang Härdle, Enno Mammen"]},"note":["Gesehen am 06.02.2018"],"recId":"1568109695","language":["eng"],"origin":[{"dateIssuedDisp":"17 May 2002","dateIssuedKey":"2002"}]} | ||
| SRT | |a CARROLLRAYESTIMATION1720 | ||