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2011•Shuxue de shijian yu renshiRequires access

Variable Bandwidth One-step Local M-estimators of Partial Linear Models

Lili Yao, Yan Liu

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Abstract

In the paper the variable bandwidth one-step local M-estimates of the unknown function and the unknown parameter of the partial linear models are discussed.The estimators of parametric component on partial linear models are developed by one-step M-estimation method and average method,the estimators of nonparametric component are given by one-step M-estimation.Asymptotic properties of one-step M-estimators are proofed by two lemmas.The proposed method inherits the advantages of local polynomial regression and overcomes lack of robustness of least squares techniques.

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What this paper is about

In the paper the variable bandwidth one-step local M-estimates of the unknown function and the unknown parameter of the partial linear models are discussed.The estimators of parametric component on partial linear models are developed by one-step M-estimation method and average method,the estimators of nonparametric component are given by one-step M-estimation.Asymptotic properties of one-step M-estimators are proofed by two lemmas.The proposed method inherits the advantages of local polynomial regression and overcomes lack of robustness of least squares techniques.

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Available abstract

In the paper the variable bandwidth one-step local M-estimates of the unknown function and the unknown parameter of the partial linear models are discussed.The estimators of parametric component on partial linear models are developed by one-step M-estimation method and average method,the estimators of nonparametric component are given by one-step M-estimation.Asymptotic properties of one-step M-estimators are proofed by two lemmas.The proposed method inherits the advantages of local polynomial regression and overcomes lack of robustness of least squares techniques.

Key concepts: Estimator, Mathematics, Applied mathematics, M-estimator, Robustness (evolution), Parametric statistics, Linear model, Linear regression

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