Parametrically guided estimation in nonparametric varying coefficient models with quasi-likelihood

Clemontina A. Davenport, Arnab Maity and Yichao Wu

Journal of Nonparametric Statistics, 2015, vol. 27, issue 2, 195-213

Abstract: Varying coefficient models (VCMs) allow us to generalise standard linear regression models to incorporate complex covariate effects by modelling the regression coefficients as functions of another covariate. For nonparametric varying coefficients, we can borrow the idea of parametrically guided estimation to improve asymptotic bias. In this paper, we develop a guided estimation procedure for the nonparametric VCMs. Asymptotic properties are established for the guided estimators and a method of bandwidth selection via bias-variance tradeoff is proposed. We compare the performance of the guided estimator with that of the unguided estimator via both simulation and real data examples.

Date: 2015
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DOI: 10.1080/10485252.2015.1026903

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