Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62218
Authors: 
Golubev, Georgi
Härdle, Wolfgang
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,21
Abstract: 
We consider a problem of estimation of parametric component in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a practically feasible adaptive procedure for choke of smoothing parameters based on the principle of unbiased risk estimation.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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