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 |
Search Result 1
Search Result 2
Estimation in an additive model when the components are linked parametrically
Book/Monograph
Arbeitspapier
Online Resource