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The nonparametric estimation in generalized regression model

Let $Y_t \in \mathbb{R}$ be a response variable and $X_t$ a $d$-dimensional explanatory variable. Assume we observe the process that $(X_1, Y_1), \cdots, (X_n, Y_n)$. \begin{equation} Y_{t} = \mu( …
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The nonparametric estimation in generalized regression model

The asymptotic expression for $(\hat{m} - m)(x)$ is presented in the Appendix of Fan and Qao. So this question is meaningless.
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semi-parametric regression

Suppose the observation $(X_1, Y_1), \ldots, (X_n, Y_n)$ satisfies the following semi-parametric model $$Y_t = m(X_t, \alpha) + \sigma(X_t, \beta) U_t,$$ where $U_t$ is independent with $X_t$ with zer …
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