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Title:On adaptive estimation in partial linear models PDF Logo
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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