On rate optimal local estimation in nonparametric instrumental regression

Details On rate optimal local estimation in nonparametric instrumental regression On rate optimal local estimation in nonparametric instrumental regression

2009-02-12

arxiv.org/abs/0902.2103v1

Mathematics

Statistics Theory

Scientific paper

We consider the problem of estimating the value of a linear functional in nonparametric instrumental regression, where in the presence of an instrument W a response Y is modeled in dependence of an endogenous explanatory variable Z. The proposed estimator is based on dimension reduction and additional thresholding. The minimax optimal rate of convergence of the estimator is derived assuming that the structural function and the representer of the linear functional belong to some ellipsoids which are in a certain sense linked to the conditional expectation operator of Z given W. We illustrate these results by considering classical smoothness assumptions.

Affiliated with

Also associated with

No associations

Rating

On rate optimal local estimation in nonparametric instrumental regression does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On rate optimal local estimation in nonparametric instrumental regression, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On rate optimal local estimation in nonparametric instrumental regression will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-556485