Title: Local maximum likelihood estimation and inference
Authors: Fan, JQ ×
Farmen, M
Gijbels, Irène #
Issue Date: 1998
Publisher: Blackwell publ ltd
Series Title: Journal of the royal statistical society series b-statistical methodology vol:60 pages:591-608
Abstract: Local maximum likelihood estimation is a nonparametric counterpart of the widely used parametric maximum likelihood technique. It extends the scope of the parametric maximum likelihood method to a much wider class of parametric spaces. Associated with this nonparametric estimation scheme is the issue of bandwidth selection and bias and variance assessment. This paper provides a unified approach to selecting a bandwidth and constructing confidence intervals in local maximum likelihood estimation. The approach is then applied to least squares nonparametric regression and to nonparametric logistic regression. Our experiences in these two settings show that the general idea outlined here is powerful and encouraging.
ISSN: 1369-7412
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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