Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods
✍ Scribed by O. Linton; E. Mammen
- Book ID
- 111052455
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 589 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0012-9682
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📜 SIMILAR VOLUMES
We propose a new estimator for boundary correction for kernel density estimation. Our method is based on local Bayes techniques of Hjort (Bayesian Statist. 5 (1996) 223). The resulting estimator is semiparametric type estimator: a weighted average of an initial guess and the ordinary re ection metho
Accuracy of the normal approximation for Speckman's kernel smoothing estimator of the parametric component ; in the semiparametric regression model y=x { ;+ g(t)+e is studied when the bandwidth used in the estimator is selected by a general data-based method which includes such commonly used bandwid