Authors: | Belomestny, Denis Klochkov, Egor Spokoiny, Vladimir |
Title: | Sieve maximum likelihood estimation in a semi-parametric regression model with errors in variables |
Language (ISO): | en |
Abstract: | The paper deals with a semi-parametric regression problem under deterministic and regular design which is observed with errors. We first linearise the problem using a sieve approach and then apply the total penalised maximum likelihood estimator to the linearised model. Sufficient conditions for √n-consistency and efficiency under parametric assumption are derived and a possible misspecification bias under different smoothness assumptions on the design is analysed. The Monte Carlo simulations show the performance of the estimator with simulated data. |
Subject Headings: | errors-in-variables model √n-consistency regression |
URI: | http://hdl.handle.net/2003/34888 http://dx.doi.org/10.17877/DE290R-16936 |
Issue Date: | 2016 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_1516_SFB823_Belomestny_Klochkov_Spokoiny.pdf | DNB | 4.97 MB | Adobe PDF | View/Open |
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