Estimating a Convex Function in Nonparametric Regression

Estimating a convex function in nonparametric regression

A new nonparametric estimate of a convex regression function is proposed and its stochastic properties are studied. The method starts with an unconstrained estimate of the derivative of the regression function, which is firstly isotonized and then integrated. We prove asymptotic normality of the new estimate and show that it is first order asymptotically equivalent to the initial unconstrained ...

Nonparametric instrumental regression with non-convex constraints

This paper considers the nonparametric regression model with an additive error that is dependent on the explanatory variables. As is common in empirical studies in epidemiology and economics, it also supposes that valid instrumental variables are observed. A classical example in microeconomics considers the consumer demand function as a function of the price of goods and the income, both variab...

Estimating Rate Equations Using Nonparametric Regression Methods

ESTIMATING LYAPUNOV EXPONE0iTS WITH NONPARAMETRIC REGRESSION

vVe discuss procedures based on non parametric regression for estimating the dominant Lyapunov exponent Al from time-series data generated by a system xt =f(xt _l' x t _2' ... xt_d)+o-et , where XtEIR, and {et } is an iid sequence of random variables. For systems with bounded fluctuations in x t ' '\1 >0 is the defining feature of chaos. vVe show that any consistent estimator of the partial of/...

Nonparametric Regression

This article has no abstract.