Varying parameter models and nonparametric regression:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
1990
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 209 S. graph. Darst. |
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MARC
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| 100 | 1 | |a Kugel, Reint J. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Varying parameter models and nonparametric regression |c door Reint Johan Kugel |
| 264 | 1 | |c 1990 | |
| 300 | |a 209 S. |b graph. Darst. | ||
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| _version_ | 1804118392778522624 |
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| adam_text | CONTENTS
1. INTRODUCTION 1
1.1 Review of the literature 3
1.2 Motivation to use varying parameter models based on 9
economic theory
1.3 Model selection based on the data 17
1.4 Nonparametric regression models 23
1.4 Outline of the thesis 25
2. SOME LARGE SAMPLE THEORY AND RESULTS ON MATRICES 29
2.1 Order in probability 29
2.2 The multinomial distribution 36
2.3 Applications of large sample theory on sequences 40
of matrices
2.4 Some results on matrix operators 45
2.5 Some useful matrices 47
2.6 Some special matrices 49
2.7 Some further results on matrices 51
3. TIME VARYING PARAMETER MODELS 55
3.1 The estimation of varying parameter models 56
3.2 Some general models 62
3.3 Some special models 65
3.4 Varying parameter regression models in the 67
Theil Goldberger representation
5.5 Structure of the matrices in the random walk model 70
3.6 The estimation of the incidental parameters 80
in the random walk model
3.7 Estimation of the structural parameters in the 82
random walk model
3.8 ML estimation in the random walk model 84
3.9 The method of MINQfJE estimation 86
3.10 The MINQUE estimator in the random walk model 97
in G, and G2
3.11 MINQUE estimators of the random walk model 101
in Gl and G2
Appendix 3A. Boundedness of m2{Mv) 109
4. NONPARAMETRIC REGRESSION 111
4.1 The nonparametric model, a description 112
4.2 Some estimation methods, the use of model selection 114
4.3 The unrestricted piecewise polynomial estimator 124
4.4 Smooth estimators; the restricted piecewise 129
polynomial estimator
4.5 The convergence rate 132
4.6 Smoothing the unrestricted estimator 135
4.7 Asymptotically optimal selection of the restricted 138
piecewise polynomial estimator
Appendix 4A. The convergence rate of the risk 147
Appendix 4B. The asymptotic behaviour of the matrix (AjXj) 1 151
5. SIMULATION STUDY WITH THE PIECEWISE POLYNOMIAL ESTIMATOR 157
5.1 Some issues in piecewise polynomial regression 157
5.2 Generation of the data 160
5.3 Results of the simulation study 165
5.4 Comparison of the piecewise polynomial estimator 176
5.5 Discussion of the results 179
¦with the kernel estimator
Appendix 5A. Volatility of the conditional risk 188
6. CONCLUSION 191
SUBJECT INDEX 193
REFERENCES 195
SAMENVATTING 207
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| genre_facet | Hochschulschrift |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T16:09:34Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002609285 |
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| physical | 209 S. graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
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| spelling | Kugel, Reint J. Verfasser aut Varying parameter models and nonparametric regression door Reint Johan Kugel 1990 209 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Groningen, Univ., Diss., 1990 (DE-588)4113937-9 Hochschulschrift gnd-content HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002609285&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kugel, Reint J. Varying parameter models and nonparametric regression |
| subject_GND | (DE-588)4113937-9 |
| title | Varying parameter models and nonparametric regression |
| title_auth | Varying parameter models and nonparametric regression |
| title_exact_search | Varying parameter models and nonparametric regression |
| title_full | Varying parameter models and nonparametric regression door Reint Johan Kugel |
| title_fullStr | Varying parameter models and nonparametric regression door Reint Johan Kugel |
| title_full_unstemmed | Varying parameter models and nonparametric regression door Reint Johan Kugel |
| title_short | Varying parameter models and nonparametric regression |
| title_sort | varying parameter models and nonparametric regression |
| topic_facet | Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002609285&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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