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IPM
30
YEARS OLD

“School of Biological Sciences”

Paper   IPM / Biological Sciences / 14124
   School of Biological Sciences
  Title: Optimal partial ridge estimation in restricted semiparametric regression models
  Author(s):
1 . M. Amini.
2 . M. Roozbeh.
  Status: Published
  Journal: J. Multivariate Anal.
  No.: 136
  Vol.: http://dx.doi.org/10.1016/j.jmva.2015.01.005
  Year: 2015
  Pages: 26-40
  Supported by: IPM
  Abstract:
This paper is concerned with the ridge estimation of the parameter vector β in partial linear regression model y i = x i β +f (t , 1 �?� i �?� n, with correlated errors, that is, when Cov(ϵ) = �? 2 i ) +ϵ i V, with a positive definite matrix V and ϵ = (ϵ ), under the linear constraint Rβ = r, for a given matrix R and a given vector r. The partial residual estimation method is used to estimate β and the function f (·). Under appropriate assumptions, the asymptotic bias and variance of the proposed estimators are obtained. A generalized cross validation (GCV) criterion is proposed for selecting the optimal ridge parameter and the bandwidth of the kernel smoother. An extension of the GCV theorem is established to prove the convergence of the GCV mean. The theoretical results are illustrated by a real data example and a simulation study.

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