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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2011-016
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency. The SBK techniques is both computational expedient and theoretically reliable, thus usable for analyzing high-dimensional time series. Inference can be made on component functions based on asymptotic normality. Simulation evidence strongly corroborates with the asymptotic theory.
Schlagwörter: 
bandwidths
B spline
knots
link function
mixing
Nadaraya-Watson estimator
Dokumentart: 
Working Paper

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