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Estimation of Nonparametric Regression Models with Measurement Error Using Validation Data

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Document pages: 10 pages

Abstract: We consider the problem of estimating a function g in nonparametric regressionmodel when only some of covariates are measured with errors with theassistance of validation data. Without specifying any error model structurebetween the surrogate and true covariables, we propose an estimator whichintegrates orthogonal series estimation and truncated series approximationmethod. Under general regularity conditions, we get the convergence rate ofthis estimator. Simulations demonstrate the finite-sample properties of thenew estimator.

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