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It is shown that the weighted residual-based estimator of Schick, Zhu, and Du (2017) is efficient in some special cases and can be made to be efficient by adding a… Click to show full abstract
It is shown that the weighted residual-based estimator of Schick, Zhu, and Du (2017) is efficient in some special cases and can be made to be efficient by adding a stochastic correction term. The efficiency is shown by deriving the efficient influence function and establishing a uniform stochastic expansion with this influence function. The correction term relies on estimators of the score function for the errors and other characteristics of the model.
Keywords:
distribution varying;
estimation error;
efficient estimation;
varying coefficient;
error distribution;
coefficient regression
Journal Title: Mathematical Methods of Statistics
Year Published: 2017
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Journal Title: Mathematical Methods of Statistics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!