One-step local quasi-likelihood estimation

@inproceedings{Fan1999OnestepLQ,
  title={One-step local quasi-likelihood estimation},
  author={Jianqing Fan and Jianwei Chen},
  year={1999}
}
Local quasi‐likelihood estimation is a useful extension of local least squares methods, but its computational cost and algorithmic convergence problems make the procedure less appealing, particularly when it is iteratively used in methods such as the back‐fitting algorithm, cross‐validation and bootstrapping. A one‐step local quasi‐likelihood estimator is introduced to overcome the computational drawbacks of the local quasi‐likelihood method. We demonstrate that as long as the initial… CONTINUE READING

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