Convergence rates for smoothing spline estimators in varying coefficient models |
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| Authors: | PPB Eggermont RL Eubank VN LaRiccia |
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| Institution: | 1. Food and Resource Economics, University of Delaware, Newark, DE 19717-1303, USA;2. Department of Mathematics and Statistics, Arizona State University, Tempe, AZ 85287-1804, USA |
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| Abstract: | We consider the estimation of a multiple regression model in which the coefficients change slowly in “time”, with “time” being an additional covariate. Under reasonable smoothness conditions, we prove the usual expected mean square error bounds for the smoothing spline estimators of the coefficient functions. |
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| Keywords: | 62G08 62G20 |
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