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Nonparametric instrumental regression with non-convex constraints
Nonparametric instrumental regression non-convex constraints
2012/11/21
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 ...
High-dimensional instrumental variables regression and confidence sets
Instrumental variables sparsity STIV estimator endogeneity high-dimensional regression conic programming optimal instruments hereroscedasticity confidence intervals non-Gaussian errors variable selection unknown variance sign consistency
2011/6/17
We propose an instrumental variables method for estimation in linear models with endogenous
regressors in the high-dimensional setting where the sample size n can be smaller than the number
of possi...
LASSO Methods for Gaussian Instrumental Variables Models
Methodology (stat.ME) Statistics Theory (math.ST)
2010/12/17
In this note, we propose to use sparse methods (e.g. LASSO, Post-LASSO, sqrt-LASSO, and Post-sqrt-LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variabl...
On rate optimal local estimation in nonparametric instrumental regression
Nonparametric regression Instrument Linear functional Linear Galerkin approach Optimal rates of convergence
2010/3/18
We consider the problem of estimating the value of a linear functional in nonparametric
instrumental regression, where in the presence of an instrument W a response
Y is modeled in dependence of an ...
Oracle Inequality for Instrumental Variable Regression
Inverse Problems Instrumental Variables Model Selection Econometrics
2010/3/17
We tackle the problem of estimating a regression function observed in an instrumental
regression framework. This model is an inverse problem with unknown
operator. We provide a spectral cut-off esti...