Stochastic Search for Semiparametric Linear Regression Models

Details Stochastic Search for Semiparametric Linear Regression Models Stochastic Search for Semiparametric Linear Regression Models

2011-06-17

arxiv.org/abs/1106.3520v2

Statistics

Methodology

Technical report 75, IMSV, University of Bern

Scientific paper

This paper introduces and analyzes a stochastic search method for parameter estimation in linear regression models in the spirit of Beran and Millar (1987). The idea is to generate a random finite subset of a parameter space which will automatically contain points which are very close to an unknown true parameter. The motivation for this procedure comes from recent work of Duembgen, Samworth and Schuhmacher (2011) on regression models with log-concave error distributions.

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