Abstract
Semivarying coefficient models are frequently used in statistical models. In this paper, under the condition that the coefficient functions possess different degrees of smoothness, a two-step method is proposed. In the case, one-step method for the smoother coefficient functions cannot be optimal. This drawback can be repaired by using the two-step estimation procedure. The asymptotic mean-squared error for the two-step procedure is obtained and is shown to achieve the optimal rate of convergence. A few simulation studies are conducted to evaluate the proposed estimation methods.
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This research is supported in part by the National Natural Science Foundation of China under Grant No. 10871072 and Shanxi's Natural Science Foundation of China under Grant No. 2007011014.
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Zhang, R., Feng, J., Wen, K. et al. Estimation on semivarying coefficient models with different degrees of smoothness. J Syst Sci Complex 22, 469–482 (2009). https://doi.org/10.1007/s11424-009-9179-1
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DOI: https://doi.org/10.1007/s11424-009-9179-1