THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY

B-Tier
Journal: Econometric Theory
Year: 2015
Volume: 31
Issue: 2
Pages: 337-361

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper develops uniform approximations for the integrated mean squared error (IMSE) of nonparametric series regression estimators, including both least-squares and averaging least-squares estimators. To develop these approximations, we also generalize an important probability inequality of Rosenthal (1970, Israel Journal of Mathematics 8, 273–303; 1972, Sixth Berkeley Symposium on Mathematical Statistics and Probability, vol. 2, pp. 149–167. University of California Press) to the case of Hilbert-space valued random variables.

Technical Details

RePEc Handle
repec:cup:etheor:v:31:y:2015:i:02:p:337-361_00
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25