Robust estimates in generalised varying-coefficient partially linear models

Tao Hu and Hengjian Cui

Journal of Nonparametric Statistics, 2010, vol. 22, issue 6, 737-754

Abstract: In this article, we introduce a family of robust estimates for the parametric and nonparametric components under a generalised semiparametric varying coefficient partially linear regression model, where the data are modelled by yi|(xi, zi, ui) ∼ F (·, μi) with for some known distribution function F and link function H. A class of sieve robust estimation is proposed and the asymptotic properties of the proposed estimators are discussed. Under some mild conditions, the estimators are shown to be strongly consistent; the convergence rate of the estimator for the unknown nonparametric component is obtained and the estimator for the unknown parameter is shown to be asymptotically normally distributed. Four simulation studies are conducted to examine the small-sample properties of the proposed estimates and a real data set is used to illustrate our approach.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/10485250903428468 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:gnstxx:v:22:y:2010:i:6:p:737-754

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/GNST20

DOI: 10.1080/10485250903428468

Access Statistics for this article

Journal of Nonparametric Statistics is currently edited by Jun Shao

More articles in Journal of Nonparametric Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().