Focused Information Criterion for Series Estimation in Partially Linear Models
نویسندگان
چکیده
منابع مشابه
A focused information criterion for graphical models
A new method for model selection for Gaussian Bayesian networks and Markov networks, with extensions towards ancestral graphs, is constructed to have good mean squared error properties. The method is based on the focused information criterion, and offers the possibility of fitting individualtailored models. The focus of the research, that is, the purpose of the model, directs the selection. It ...
متن کاملStructure learning using a focused information criterion in graphical models
A new method for model selection for Gaussian directed acyclic graphs (DAG) and Gaussian graphical models (GGM), with extensions towards ancestral graphs (AG), is constructed to have good prediction properties. The method is based on the focused information criterion, and offers the possibility of fitting individual tailored models. The focus of the research, that is, the purpose of the model, ...
متن کاملWavelet estimation of partially linear models
A wavelet approach is presented for estimating a partially linear model (PLM). We find an estimator of the PLM by minimizing the square of the l2 norm of the residual vector with penalizing the l1 norm of the wavelet coefficients of the nonparametric component. This approach, an extension of the wavelet approach for nonparametric regression problems, avoids the restrictive smoothness requiremen...
متن کاملOn Estimation of Partially Linear Transformation Models.
We study a general class of partially linear transformation models, which extend linear transformation models by incorporating nonlinear covariate effects in survival data analysis. A new martingale-based estimating equation approach, consisting of both global and kernel-weighted local estimation equations, is developed for estimating the parametric and nonparametric covariate effects in a unif...
متن کاملRank Estimation of Partially Linear Index Models
We consider a generalized regression model with a partially linear index. The index contains an additive nonparametric component in addition to the standard linear component, and the models dependent variable is transformed by a unknown monotone function. We propose weighted rank estimation procedures for estimating (i) the coe¢ cients for the linear component, (ii) the nonparametric component...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Japanese Economic Review
سال: 2017
ISSN: 1352-4739
DOI: 10.1111/jere.12139