title: Estimation in an Additive Model when the Components are LinkedParametrically
creator: Carroll, Raymond J.
creator: Härdle, Wolfgang
creator: Mammen, Enno
subject: ddc-510
subject: 510 Mathematics
description: Motivated by a nonparametric GARCH model we considernonparametric additive regression and autoregression modelsin the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure is based on two steps. In the first stepnonparametric smoothers are used for the estimation of each additivecomponent without taking into account the parametric link of thefunctions. In a second step the parameter is estimated by using theparametric restriction between the additive components. Interestingly, our method needs no undersmoothing in the first step.
date: 1998-10
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/20805/1/beitrag.50.pdf
identifier: DOI:10.11588/heidok.00020805
identifier: urn:nbn:de:bsz:16-heidok-208050
identifier:   Carroll, Raymond J. ; Härdle, Wolfgang ; Mammen, Enno  (1998) Estimation in an Additive Model when the Components are LinkedParametrically.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/20805/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng