Robust adaptive estimation for semivarying coefficient models

Weihua Zhao, Riquan Zhang, Jicai Liu and Hongchang Hu

Statistics & Probability Letters, 2015, vol. 97, issue C, 132-141

Abstract: A novel and robust method is proposed by combining the idea of the modal regression estimation (Yao et al., 2012) and spline based shrinkage estimation method (Lian, 2012). The newly proposed method can simultaneously estimate and separate constant coefficients from varying coefficients and its performance is illustrated by simulation studies.

Keywords: B-spline; Modal regression; Robustness; Semivarying coefficient model; Shrinkage estimation (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.11.015

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