On rate optimal local estimation in nonparametric instrumental regression

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dc.creatorBreunig, Christoph
dc.creatorJohannes, Jan
dc.date2009-02-12
dc.date.accessioned2026-07-07T12:40:56Z
dc.date.available2026-07-07T12:40:56Z
dc.descriptionWe 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 endogenous explanatory variable Z. The proposed estimator is based on dimension reduction and additional thresholding. The minimax optimal rate of convergence of the estimator is derived assuming that the structural function and the representer of the linear functional belong to some ellipsoids which are in a certain sense linked to the conditional expectation operator of Z given W. We illustrate these results by considering classical smoothness assumptions.
dc.identifierhttps://arxiv.org/abs/0902.2103
dc.identifierhttp://arxiv.org/abs/0902.2103
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/219605
dc.subjectStatistics Theory
dc.titleOn rate optimal local estimation in nonparametric instrumental regression
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