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Statistical estimation in varying coefficient models
Open accessAbstract
Varying coefficient models are a useful extension of classical linear models. They arise naturally when one wishes to examine how regression coefficients change over different groups characterized by certain covariates such as age. The appeal of these models is that the coef .cient functions can easily be estimated via a simple local regression.This yields a simple one-step estimation procedure. We show that such a one-step method cannot be optimal when different coefficient functions admit different degrees of smoothness. This drawback can be repaired by using our proposed two-step estimation procedure.The asymptotic mean-squared error for the two-step procedure is obtained and is shown to achieve the optimal rate of convergence. A few simulation studies show that the gain by the two-step procedure can be quite substantial.The methodology is illustrated by an application to an environmental data set.
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Beaumont, M. A., Zhang, W., & Balding, D. J. (2002) · Genetics · doi:10.1093/genetics/162.4.2025 · Cited by 2,932
Self-citationAn Adaptive Estimation of Dimension Reduction Space
Xia, Y., Tong, H., Li, W. K., & Zhu, L.-X. (2002) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/1467-9868.03411 · Cited by 820
Attributing changes in food insecurity to a changing climate
Dasgupta, S., & Robinson, E. J. Z. (2022) · Scientific Reports · doi:10.1038/s41598-022-08696-x · Cited by 153
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Metadata
- Authors
- Fan, J., & Zhang, W.
- Venue
- The Annals of Statistics
- Publisher
- Institute of Mathematical Statistics
- Published
- 1999-10-01
- Volume
- 27
- Issue
- 5
- Pages
- 1491-1518
- ISSN
- 0090-5364 (ISSN-L)
- OpenAlex
- W1494947645
- Cited by
- 656
- References
- 19
- FWCI
- 5.71
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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