Variance estimation for semiparametric regression models by local averaging

doi:10.1007/s11749-017-0553-3

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	Variance estimation for semiparametric regression models by local averaging
	Zhao, Jingxin 1; Peng, Heng 1; Huang, Tao 2
刊名	TEST
	2018-06
卷号	27 期号:2 页码:453-476
关键词	Variance estimation Local averaging Partial consistency Semiparametric model
ISSN号	1133-0686
DOI	10.1007/s11749-017-0553-3
英文摘要	Variance estimation is a fundamental problem in statistical modelling and plays an important role in the inferences after model selection and estimation. In this paper, we focus on several nonparametric and semiparametric models and propose a local averaging method for variance estimation based on the concept of partial consistency. The proposed method has the advantages of avoiding the estimation of the nonparametric function and reducing the computational cost and can be easily extended to more complex settings. Asymptotic normality is established for the proposed local averaging estimators. Numerical simulations and a real data analysis are presented to illustrate the finite sample performance of the proposed method.
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000431692900010
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/615]
专题	上海财经大学
通讯作者	Huang, Tao
作者单位	1.Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Jingxin,Peng, Heng,Huang, Tao. Variance estimation for semiparametric regression models by local averaging[J]. TEST,2018,27(2):453-476.
APA	Zhao, Jingxin,Peng, Heng,&Huang, Tao.(2018).Variance estimation for semiparametric regression models by local averaging.TEST,27(2),453-476.
MLA	Zhao, Jingxin,et al."Variance estimation for semiparametric regression models by local averaging".TEST 27.2(2018):453-476.