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Efficient estimation of the error distribution in a varying coefficient regression model

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Abstract

It is shown that the weighted residual-based estimator of Schick, Zhu, and Du (2017) is efficient in some special cases and can be made to be efficient by adding a stochastic correction term. The efficiency is shown by deriving the efficient influence function and establishing a uniform stochastic expansion with this influence function. The correction term relies on estimators of the score function for the errors and other characteristics of the model.

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Schick, A., Zhu, Y. Efficient estimation of the error distribution in a varying coefficient regression model. Math. Meth. Stat. 26, 176–195 (2017). https://doi.org/10.3103/S1066530717030024

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  • DOI: https://doi.org/10.3103/S1066530717030024

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2000 Mathematics Subject Classification

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