Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator
| Autor: | Zheng-Feng Guo, Ling Yan Cao, Ying He |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Statistics::Theory
Heteroscedasticity Statistics::Applications Nonparametric statistics Estimator Statistics::Machine Learning Consistency (statistics) Econometrics Statistics::Methodology Applied mathematics A priori and a posteriori Backfitting algorithm Additive model Selection (genetic algorithm) Mathematics |
| Zdroj: | Theoretical Economics Letters. :15-17 |
| ISSN: | 2162-2086 2162-2078 |
| DOI: | 10.4236/tel.2011.12004 |
| Popis: | This paper proposes a nonparametric FPE-like procedure based on the smooth backfitting estimator when the additive structure is a priori known. This procedure can be expected to perform well because of its well-known finite sample performance of the smooth backfitting estimator. Consistency of our procedure is established under very general conditions, including heteroskedasticity. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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