Partially linear varying coefficient models stratified by a functional covariate

Arnab Maity and Jianhua Z. Huang

Statistics & Probability Letters, 2012, vol. 82, issue 10, 1807-1814

Abstract: We consider the problem of estimation in semiparametric varying coefficient models where the covariate modifying the varying coefficients is functional and is modeled nonparametrically. We develop a kernel-based estimator of the nonparametric component and a profiling estimator of the parametric component of the model, and derive their asymptotic properties. Specifically, we show the consistency of the nonparametric functional estimates and derive the asymptotic expansion of the estimates of the parametric component. We illustrate the performance of our methodology using a simulation study and a real data application.

Keywords: Functional regression; Kernel smoothing; Profile method; Semi-varying coefficient model (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2012.06.002

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