The Annals of Statistics

Convergence and Consistency Results for Self-Modeling Nonlinear Regression

Alois Kneip and Theo Gasser

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Abstract

This paper is concerned with parametric regression models of the form $Y_{ij} = f(t_{ij}, \theta_i) + \text{error}, i = 1, \ldots, n, j = 1, \ldots, T_i$, where the continuous function $f$ may depend nonlinearly on the known regressors $t_{ij}$ and the unknown parameter vectors $\theta_i$. The assumption of an a priori known $f$ is dropped and replaced by the requirement that qualitative information about the structure of the model is available or can be generated by a preliminary exploratory data analysis. This framework--allowing both $f$ and the individual parameter vectors to be unknown--necessitates a detailed discussion of identifiability of model and parameters. A method is then proposed for the simultaneous estimation of $f$ and $\theta_i$ by making use of the prior information. An iterative algorithm simplifying computation of the estimates is presented, and for $\min\{n, T_1, \ldots, T_n\} \rightarrow \infty$ conditions for strong uniform consistency of the resulting estimators of $f$ and strong consistency of the estimators of $\theta_i$ are established. Some examples illustrating the method are included.

Article information

Source
Ann. Statist., Volume 16, Number 1 (1988), 82-112.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176350692

Digital Object Identifier
doi:10.1214/aos/1176350692

Mathematical Reviews number (MathSciNet)
MR924858

Zentralblatt MATH identifier
0725.62060

JSTOR
links.jstor.org

Subjects
Primary: 62J02: General nonlinear regression
Secondary: 62G05: Estimation 62F11

Keywords
Nonlinear regression model selection method of sieves consistency

Citation

Kneip, Alois; Gasser, Theo. Convergence and Consistency Results for Self-Modeling Nonlinear Regression. Ann. Statist. 16 (1988), no. 1, 82--112. doi:10.1214/aos/1176350692. https://projecteuclid.org/euclid.aos/1176350692


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