Advances and Applications in Statistics
Volume 1, Issue 2, Pages 207 - 220
(August 2001)
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ON ADAPTIVE ESTIMATION OF REGRESSION COEFFICIENTS WITH SYMMETRIC ERRORS
Kee-Hoon Kang (Korea)
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Abstract: We propose an adaptive estimator of regression coefficients based on one-step approximation of maximum likelihood estimator. Kernel estimation is used to replace the error density and its derivative which appear in the score function. The second order asymptotics using higher order kernels are established and the optimal orders of bandwidths for estimating regression coefficients are derived. |
Keywords and phrases: adaptive estimation, regression coefficients estimation, kernel function, bandwidth, higher order kernel, semiparametric model. |
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