We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error … score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is … asymptotically equivalent to the infeasible local maximum likelihood estimator [Staniswalis (1989)], and hence improves on standard …

of the asymptotic behavior of the pseudo maximum likelihood index estimator and of some associated cross … bootstrap for estimating the variance of the index estimator and a variant of bagging for numerically stabilizing its variance …

linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order …

models and quasilikelihood functions. When the covariate variables are missing at random, we propose a weighted estimator … estimated nonparametrically. We show that the asymptotic variance of the resulting nonparametric estimator of the mean function …