We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a...

Models are studied where the response Y and covariates X, T are assumed to fulfill E(Y|X; T) = G{XT β + α + m1(T1) + … + md(Td)}. Here G is a known (link) function, β is an unknown parameter, and m1, …, md are unknown functions. In particular, we consider additive binary response models...

A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...

The problem of estimation of the finite dimensional parameter in a partial linear model is considered. We derive upper and lower bounds for the second minimax order risk and show that the second order minimax estimator is a penalized maximum likelihood estimator. It is well known that the...

The economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various...

Couples from Western countries tend to delay their pregnancies, which may affect their ability to obtain a live birth. We assessed the association between male age and the risk of spontaneous abortion taking into account woman's age. We performed telephone interviews on a ross-sectional random...

One of the most difficult problems in applications of semiparametric generalized partially linear single-index model (GPLSIM) is the choice of pilot estimators and complexity parameters which may result in radically different estimators. Pilot estimators are often assumed to be root-n...