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Convergence rate of local least square estimators in a class of varying coefficient models

Liqian Zhou, Bo Yu, Shengyue Deng

Abstract


In this paper, we consider the convergence of the local least square estimators to the true value in a class of varying coefficient models with the fixed design points and the independent and identically distributed random errors. Under mild assumptions, the law of the iterated logarithm and asymptotic convergent rate of these estimators are established.

Keywords


Varying coefficient model, Local least square estimator, Lipschitz continuity, Law of the iterated logarithm, Convergence rate.

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