Abstract
The paper studies a partially linear regression model given by
where \(\{\varepsilon _i,i=1,2,\ldots , n\}\) are independent and identically distributed random errors with zero mean and finite variance \(\sigma ^2>0\). Using a difference based and the Huber–Dutter (DHD) approaches, the estimators of unknown parametric component \(\beta \) and root variance \(\sigma \) are given, and then the estimation of nonparametric component \(f(\cdot )\) is given by the wavelet method. The asymptotic normality of the DHD estimators of \(\beta \) and \(\sigma \) are investigated, and the weak convergence rate of the estimator of \(f(\cdot )\) is also investigated. In addition, for stationary \(m\)-dependent sequence of random variables, the central limit theorem is also obtained. At last, two examples are presented to illustrate the proposed method.
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Acknowledgments
The first author’s work was supported by Natural Science Foundation of China (No. 11471105,11471223). The third author’s work was supported by Natural Science Foundation of China (No. 41374017). The authors thank the anonymous referees for their very valuable discussions and suggestions, which led to a great improvement of the paper.
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Hu, H., Zhang, Y. & Pan, X. Asymptotic normality of DHD estimators in a partially linear model. Stat Papers 57, 567–587 (2016). https://doi.org/10.1007/s00362-015-0666-2
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DOI: https://doi.org/10.1007/s00362-015-0666-2
Keywords
- Partially linear regression model
- Difference-based method
- Huber–Dutter estimator
- Asymptotic normality
- Weak convergence rate