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Results 1 - 10
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523
Large Sample Sieve Estimation of Semi-Nonparametric Models
- Handbook of Econometrics
, 2007
"... Often researchers find parametric models restrictive and sensitive to deviations from the parametric specifications; semi-nonparametric models are more flexible and robust, but lead to other complications such as introducing infinite dimensional parameter spaces that may not be compact. The method o ..."
Abstract
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Cited by 185 (19 self)
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extremum estimates, convergence rates of the sieve M-estimates, pointwise normality of series estimates of regression functions, root-n asymptotic normality and efficiency of sieve estimates of smooth functionals of infinite dimensional parameters. Examples are used to illustrate the general results.
Minimax Estimation via Wavelet Shrinkage
, 1992
"... We attempt to recover an unknown function from noisy, sampled data. Using orthonormal bases of compactly supported wavelets we develop a nonlinear method which works in the wavelet domain by simple nonlinear shrinkage of the empirical wavelet coe cients. The shrinkage can be tuned to be nearly minim ..."
Abstract
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Cited by 321 (29 self)
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minimax over any member of a wide range of Triebel- and Besov-type smoothness constraints, and asymptotically minimax over Besov bodies with p q. Linear estimates cannot achieve even the minimax rates over Triebel and Besov classes with p <2, so our method can signi cantly outperform every linear
Extremum sieve estimation in k-out-of-n systems Extremum Sieve Estimation in k-out-of-n Systems. 1
"... ABSTRACT The paper considers nonparametric estimation of absolutely continuous distribution functions of lifetimes of non-identical components in k-out-of-n systems from the observed "autopsy" data. In economics, ascending "button" or "clock" auctions with n heterogene ..."
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heterogeneous bidders present 2-out-of-n systems. Classical competing risks models are examples of n-out-of-n systems. Under weak conditions on the underlying distributions the estimation problem is shown to be well-posed and the suggested extremum sieve estimator is proven to be consistent. The paper
Extremum estimation and numerical derivatives
, 2010
"... Abstract Many empirical researchers rely on the use of finite-difference approximation to evaluate derivatives of estimated functions. For instance commonly used optimization routines implicitly use finite-difference formulas for the gradients, which require the choice of step size parameters This ..."
Abstract
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Cited by 4 (0 self)
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This paper investigates the statistical properties of numerically evaluated gradients and of extremum estimators computed using numerical gradients. We find that first, one needs to adjust the step size or the tolerance as a function of the sample size. Second, higher-order finite difference formulas reduce
Maximization by Parts in Extremum Estimation
, 2007
"... In this paper, we present various iterative algorithms for extremum estimation in cases where direct computation of the extremum estimator or via the Newton-Ralphson algorithm is difficult, if not impossible. While the Newton-Ralphson algorithm makes use of the full Hessian matrix which may be diffi ..."
Abstract
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Cited by 2 (0 self)
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In this paper, we present various iterative algorithms for extremum estimation in cases where direct computation of the extremum estimator or via the Newton-Ralphson algorithm is difficult, if not impossible. While the Newton-Ralphson algorithm makes use of the full Hessian matrix which may
Maximization by Parts in Extremum Estimation
, 2006
"... In this paper, we present various iterative algorithms for extremum estimation in cases where direct computation of the extremum estimator or via the Newton-Ralphson algorithm is di ¢ cult, if not impossible. While the Newton-Ralphson algorithm makes use of the full Hessian matrix which may be di ¢ ..."
Abstract
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In this paper, we present various iterative algorithms for extremum estimation in cases where direct computation of the extremum estimator or via the Newton-Ralphson algorithm is di ¢ cult, if not impossible. While the Newton-Ralphson algorithm makes use of the full Hessian matrix which may be di
Extremum Estimation and Numerical Derivatives
, 2010
"... Many empirical researchers rely on the use of finite-difference approximation to evaluate derivatives of estimated functions. For instance many optimization routines implicitly use finitedifference formulas for the gradients. Such routines frequently require the choice of step size parameters for fi ..."
Abstract
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for finite-difference numerical gradients or similar parameters such as the computing tolerance. This paper investigates the statistical properties numerically evaluated gradients and the properties of extremum estimators computed using numerical gradients. We find that first, for unbiased inference one
Extremum Estimation and Numerical Derivatives
, 2009
"... Many empirical researchers rely on the use of numerical optimization routines to compute ex-tremum estimators. Such routines frequently require the choice of step size parameters for finite-difference numerical gradients or similar parameters such as the computing tolerance. This paper investigates ..."
Abstract
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Many empirical researchers rely on the use of numerical optimization routines to compute ex-tremum estimators. Such routines frequently require the choice of step size parameters for finite-difference numerical gradients or similar parameters such as the computing tolerance. This paper investigates
A Bayesian Interpretation of Extremum Estimators
, 1997
"... Extremum estimation is typically an ad hoc semi-parametric estimation procedure which is only justified on the basis of the asymptotic properties of the estimators. For a fixed finite data set, consider a large number of investigations using different extremum estimators to estimate the same paramet ..."
Abstract
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Extremum estimation is typically an ad hoc semi-parametric estimation procedure which is only justified on the basis of the asymptotic properties of the estimators. For a fixed finite data set, consider a large number of investigations using different extremum estimators to estimate the same
Results 1 - 10
of
523
