English

Joint asymptotics for semi-nonparametric regression models with partially linear structure

Statistics Theory 2015-06-04 v4 Statistics Theory

Abstract

We consider a joint asymptotic framework for studying semi-nonparametric regression models where (finite-dimensional) Euclidean parameters and (infinite-dimensional) functional parameters are both of interest. The class of models in consideration share a partially linear structure and are estimated in two general contexts: (i) quasi-likelihood and (ii) true likelihood. We first show that the Euclidean estimator and (pointwise) functional estimator, which are re-scaled at different rates, jointly converge to a zero-mean Gaussian vector. This weak convergence result reveals a surprising joint asymptotics phenomenon: these two estimators are asymptotically independent. A major goal of this paper is to gain first-hand insights into the above phenomenon. Moreover, a likelihood ratio testing is proposed for a set of joint local hypotheses, where a new version of the Wilks phenomenon [Ann. Math. Stat. 9 (1938) 60-62; Ann. Statist. 1 (2001) 153-193] is unveiled. A novel technical tool, called a joint Bahadur representation, is developed for studying these joint asymptotics results.

Keywords

Cite

@article{arxiv.1311.2628,
  title  = {Joint asymptotics for semi-nonparametric regression models with partially linear structure},
  author = {Guang Cheng and Zuofeng Shang},
  journal= {arXiv preprint arXiv:1311.2628},
  year   = {2015}
}

Comments

Published at http://dx.doi.org/10.1214/15-AOS1313 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-22T02:05:25.379Z