Local Estimators in Multivariate Generalized Linear Models with Varying Coefficients

COMPUTATIONAL STATISTICS, Vol 12 No. 2, March 26, 1997

Posted: 24 Jun 1997

See all articles by Gerhard Tutz

Gerhard Tutz

Technische Universität Berlin (TU Berlin)

Göran Kauermann

Technische Universität Berlin (TU Berlin)

Abstract

The varying-coefficient model allows to investigate and visualize the form of the interaction of variables in the predictor. Moreover, common approaches like semiparametric modeling and generalized linear models are special cases. The focus is on local estimators, in particular local likelihood and locally weighted least squares estimators, which both are consistent and asymptotically normally distributed. Extensions to the case of multivariate smoothing are considered. An example illustrates the usefulness of the approach.

JEL Classification: C14

Suggested Citation

Tutz, Gerhard and Kauermann, Göran, Local Estimators in Multivariate Generalized Linear Models with Varying Coefficients. COMPUTATIONAL STATISTICS, Vol 12 No. 2, March 26, 1997. Available at SSRN: https://ssrn.com/abstract=8696

Gerhard Tutz (Contact Author)

Technische Universität Berlin (TU Berlin) ( email )

Uhlandstrasse 4-5
Institute fur Quantitative Methoden
10623 Berlin
Germany

Göran Kauermann

Technische Universität Berlin (TU Berlin) ( email )

Straße des 17
Berlin, 10623
Germany

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