EFFICIENT ESTIMATION OF FUNCTIONAL-COEFFICIENT REGRESSION MODELS WITH DIFFERENT SMOOTHING VARIABLES

In this article, a procedure for estimating the coefficient, functions on the functional-coefficient; regression models with different smoothing variables in different coefficient functions is defined. First step, by the local linear technique and the averaged method, the initial estimates of the coefficient functions are given. Second step, based on the initial estimates, the efficient estimates of the coefficient, functions are proposed by a one-step back-fitting procedure. The efficient estimators share the same asymptotic normalities as the local linear estimators for the functional-coefficient models with a single smoothing variable in different functions. Two simulated examples show that the procedure is effective.