Estimating additive nonparametric models by partial Lq norm: the curse of fractionality
Linton, O.
(2001).
Estimating additive nonparametric models by partial Lq norm: the curse of fractionality.
Econometric Theory,
17(6), 1037-1050.
We propose a new method for estimating additive nonparametric regression models based on taking the Lq median of a sample of kernel estimators. We establish the consistency and asymptotic normality of our procedures. The rate of convergence depends on the value of q. For q > 3/2 one has the usual one-dimensional rate, but if q [less-than-or-equal] 3/2 the rate can be slower.
| Item Type | Article |
|---|---|
| Copyright holders | © 2001 Cambridge University Press |
| Departments |
LSE > Research Centres > Financial Markets Group LSE > Research Centres > STICERD LSE > Academic Departments > Economics |
| Date Deposited | 15 Feb 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/319 |