Stochastic Search for Semiparametric Linear Regression Models
Methodology
2013-11-26 v2 Statistics Theory
Statistics Theory
Abstract
This paper introduces and analyzes a stochastic search method for parameter estimation in linear regression models in the spirit of Beran and Millar (1987). The idea is to generate a random finite subset of a parameter space which will automatically contain points which are very close to an unknown true parameter. The motivation for this procedure comes from recent work of Duembgen, Samworth and Schuhmacher (2011) on regression models with log-concave error distributions.
Cite
@article{arxiv.1106.3520,
title = {Stochastic Search for Semiparametric Linear Regression Models},
author = {Lutz Duembgen and Dominic Schuhmacher and Richard Samworth},
journal= {arXiv preprint arXiv:1106.3520},
year = {2013}
}
Comments
Technical report 75, IMSV, University of Bern