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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/66264
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| Title: | | On adaptive estimation in partial linear models  |
| Authors: | | Golubev, Georgi Härdle, Wolfgang |
| Issue Date: | | 1997 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,100 |
| Abstract: | | The problem of estimation of the finite dimensional parameter in a partial linear model is considered. We derive upper and lower bounds for the second minimax order risk and show that the second order minimax estimator is a penalized maximum likelihood estimator. It is well known that the performance of the estimator is depending on the choice of a smoothing parameter. We propose a practically feasible adaptive procedure for the penalization choice. |
| Subjects: | | second order minimax risk Adaptive estimation penalized likelihood |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10064779 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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