Nonparametric and semiparametric models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | German |
| Veröffentlicht: |
Berlin
Springer
2004
|
| Schriftenreihe: | Springer series in statistics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVII, 299 S. graph. Darst. |
| ISBN: | 3540207228 9783540207221 |
Internformat
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| 650 | 4 | |a Zeitreihenanalyse / Nichtparametrisches Verfahren / Theorie | |
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Datensatz im Suchindex
| _version_ | 1804132731294056448 |
|---|---|
| adam_text | WOLFGANG HARDLE, MARLENE MIILLER, STEFAN SPERLICH, AXEL WERWATZ
NONPARAMETRIC AND SEMIPARAMETRIC MODELS SPRINGER CONTENTS PREFACE V
NOTATION XXI 1 INTRODUCTION 1 1.1 DENSITY ESTIMATION 1 1.2 REGRESSION 3
1.2.1 PARAMETRIC REGRESSION 5 1.2.2 NONPARAMETRIC REGRESSION 7 1.2.3
SEMIPARAMETRIC REGRESSION 9 SUMMARY 18 PART I NONPARAMETRIC MODELS 2
HISTOGRAM 21 2.1 MOTIVATION AND DERIVATION 21 2.1.1 CONSTRUCTION 21
2.1.2 DERIVATION 23 2.1.3 VARYING THE BINWIDTH 23 2.2 STATISTICAL
PROPERTIES 24 2.2.1 BIAS 25 2.2.2 VARIANCE 26 2.2.3 MEAN SQUARED ERROR
27 2.2.4 MEAN INTEGRATED SQUARED ERROR 29 CONTENTS 2.2.5 OPTIMAL
BINWIDTH 29 2.3 DEPENDENCE OF THE HISTOGRAM ON THE ORIGIN 30 2.4
AVERAGED SHIFTED HISTOGRAM 32 BIBLIOGRAPHIC NOTES 35 EXERCISES 36
SUMMARY 38 NONPARAMETRIC DENSITY ESTIMATION 39 3.1 MOTIVATION AND
DERIVATION 39 3.1.1 INTRODUCTION 39 3.1.2 DERIVATION 40 3.1.3 VARYING
THE BANDWIDTH .... 43 3.1.4 VARYING THE KERNEL FUNCTION 43 3.1.5 KERNEL
DENSITY ESTIMATION AS A SUM OF BUMPS 45 3.2 STATISTICAL PROPERTIES 46
3.2.1 BIAS 46 3.2.2 VARIANCE 48 3.2.3 MEAN SQUARED ERROR 49 3.2.4 MEAN
INTEGRATED SQUARED ERROR 50 3.3 SMOOTHING PARAMETER SELECTION 51 3.3.1
SILVERMAN S RULE OF THUMB 51 3.3.2 CROSS-VALIDATION 53 3.3.3 REFINED
PLUG-IN METHODS 55 3.3.4 AN OPTIMAL BANDWIDTH SELECTOR?! 56 3.4 CHOOSING
THE KERNEL 57 3.4.1 CANONICAL KERNELS AND BANDWIDTHS 57 3.4.2 ADJUSTING
BANDWIDTHS ACROSS KERNELS 59 3.4.3 OPTIMIZING THE KERNEL 60 3.5
CONFIDENCE INTERVALS AND CONFIDENCE BANDS 61 3.6 MULTIVARIATE KERNEL
DENSITY ESTIMATION 66 3.6.1 BIAS, VARIANCE AND ASYMPTOTICS 70 3.6.2
BANDWIDTH SELECTION 72 3.6.3 COMPUTATION AND GRAPHICAL REPRESENTATION 75
BIBLIOGRAPHIC NOTES 79 EXERCISES 80 SUMMARY 82 CONTENTS XI 4
NONPARAMETRIC REGRESSION 85 4.1 UNIVARIATE KERNEL REGRESSION 85 4.1.1
INTRODUCTION 85 4.1.2 KERNEL REGRESSION 88 4.1.3 LOCAL POLYNOMIAL
REGRESSION AND DERIVATIVE ESTIMATION 94 4.2 OTHER SMOOTHERS 98 4.2.1
NEAREST-NEIGHBOR ESTIMATOR 98 4.2.2 MEDIAN SMOOTHING 101 4.2.3 SPLINE
SMOOTHING 101 4.2.4 ORTHOGONAL SERIES 104 4.3 SMOOTHING PARAMETER
SELECTION 107 4.3.1 A CLOSER LOOK AT THE AVERAGED SQUARED ERROR 110
4.3.2 CROSS-VALIDATION 113 4.3.3 PENALIZING FUNCTIONS 114 4.4 CONFIDENCE
REGIONS AND TESTS 118 4.4.1 POINTWISE CONFIDENCE INTERVALS 119 4.4.2
CONFIDENCE BANDS 120 4.4.3 HYPOTHESIS TESTING 124 4.5 MULTIVARIATE
KERNEL REGRESSION 128 4.5.1 STATISTICAL PROPERTIES 130 4.5.2 PRACTICAL
ASPECTS 132 BIBLIOGRAPHIC NOTES 135 EXERCISES 137 SUMMARY 139 PART II
SEMIPARAMETRIC MODELS 5 SEMIPARAMETRIC AND GENERALIZED REGRESSION MODELS
145 5.1 DIMENSION REDUCTION 145 5.1.1 VARIABLE SELECTION IN
NONPARAMETRIC REGRESSION 148 5.1.2 NONPARAMETRIC LINK FUNCTION 148 5.1.3
SEMI- OR NONPARAMETRIC INDEX 149 5.2 GENERALIZED LINEAR MODELS 151 5.2.1
EXPONENTIAL FAMILIES 151 5.2.2 LINK FUNCTIONS 153 XII CONTENTS 5.2.3
ITERATIVELY REWEIGHTED LEAST SQUARES ALGORITHM 154 BIBLIOGRAPHIC NOTES
162 EXERCISES 164 SUMMARY 165 6 SINGLE INDEX MODELS 167 6.1
IDENTIFICATION 168 6.2 ESTIMATION 170 6.2.1 SEMIPARAMETRIC LEAST SQUARES
172 6.2.2 PSEUDO LIKELIHOOD ESTIMATION 174 6.2.3 WEIGHTED AVERAGE
DERIVATIVE ESTIMATION 178 6.3 TESTING THE SIM 183 BIBLIOGRAPHIC NOTES
185 EXERCISES 186 SUMMARY 187 7 GENERALIZED PARTIAL LINEAR MODELS 189
7.1 PARTIAL LINEAR MODELS 189 7.2 ESTIMATION ALGORITHMS FOR PLM AND GPLM
191 7.2.1 PROFILE LIKELIHOOD 191 7.2.2 GENERALIZED SPECKMAN ESTIMATOR
195 7.2.3 BACKFITTING 197 7.2.4 COMPUTATIONAL ISSUES 199 7.3 TESTING THE
GPLM , 202 7.3.1 LIKELIHOOD RATIO TEST WITH APPROXIMATE DEGREES OF
FREEDOM 202 7.3.2 MODIFIED LIKELIHOOD RATIO TEST 203 BIBLIOGRAPHIC NOTES
206 EXERCISES 207 SUMMARY 208 8 ADDITIVE MODELS AND MARGINAL EFFECTS 211
8.1 BACKFITTING 212 8.1.1 CLASSICAL BACKFITTING 212 8.1.2 MODIFIED
BACKFITTING 219 8.1.3 SMOOTHED BACKFITTING 221 8.2 MARGINAL INTEGRATION
ESTIMATOR 222 CONTENTS XIII 8.2.1 ESTIMATION OF MARGINAL EFFECTS 224
8.2.2 DERIVATIVE ESTIMATION FOR THE MARGINAL EFFECTS 225 8.2.3
INTERACTION TERMS 227 8.3 FINITE SAMPLE BEHAVIOR 234 8.3.1 BANDWIDTH
CHOICE 236 8.3.2 MASE IN FINITE SAMPLES 239 8.3.3 EQUIVALENT KERNEL
WEIGHTS 240 BIBLIOGRAPHIC NOTES 247 EXERCISES 248 SUMMARY 250 9
GENERALIZED ADDITIVE MODELS 253 9.1 ADDITIVE PARTIAL LINEAR MODELS 254
9.2 ADDITIVE MODELS WITH KNOWN LINK 259 9.2.1 GAM USING BACKFITTING 260
9.2.2 GAM USING MARGINAL INTEGRATION 262 9.3 GENERALIZED ADDITIVE
PARTIAL LINEAR MODELS 264 9.3.1 GAPLM USING BACKFITTING 264 9.3.2 GAPLM
USING MARGINAL INTEGRATION 264 9.4 TESTING IN ADDITIVE MODELS, GAM, AND
GAPLM 268 BIBLIOGRAPHIC NOTES 274 EXERCISES 275 SUMMARY 276 REFERENCES
279 AUTHOR INDEX 291 SUBJECT INDEX 295
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| discipline | Mathematik Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T19:57:29Z |
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| isbn | 3540207228 9783540207221 |
| language | German |
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| spelling | Nonparametric and semiparametric models Wolfgang Härdle ... Berlin Springer 2004 XXVII, 299 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer series in statistics Deutschland Nichtparametrisches Modell Semiparametrisches Modell Smoothing Zeitreihenanalyse / Nichtparametrisches Verfahren / Theorie Nonparametric statistics Semiparametrisches Modell (DE-588)4232479-8 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 s DE-604 Semiparametrisches Modell (DE-588)4232479-8 s Härdle, Wolfgang 1953- Sonstige (DE-588)110357116 oth HEBIS Datenaustausch Darmstadt application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012783634&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nonparametric and semiparametric models Deutschland Nichtparametrisches Modell Semiparametrisches Modell Smoothing Zeitreihenanalyse / Nichtparametrisches Verfahren / Theorie Nonparametric statistics Semiparametrisches Modell (DE-588)4232479-8 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd |
| subject_GND | (DE-588)4232479-8 (DE-588)4434654-2 |
| title | Nonparametric and semiparametric models |
| title_auth | Nonparametric and semiparametric models |
| title_exact_search | Nonparametric and semiparametric models |
| title_full | Nonparametric and semiparametric models Wolfgang Härdle ... |
| title_fullStr | Nonparametric and semiparametric models Wolfgang Härdle ... |
| title_full_unstemmed | Nonparametric and semiparametric models Wolfgang Härdle ... |
| title_short | Nonparametric and semiparametric models |
| title_sort | nonparametric and semiparametric models |
| topic | Deutschland Nichtparametrisches Modell Semiparametrisches Modell Smoothing Zeitreihenanalyse / Nichtparametrisches Verfahren / Theorie Nonparametric statistics Semiparametrisches Modell (DE-588)4232479-8 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd |
| topic_facet | Deutschland Nichtparametrisches Modell Semiparametrisches Modell Smoothing Zeitreihenanalyse / Nichtparametrisches Verfahren / Theorie Nonparametric statistics |
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