Abstract:
The model being studied in this paper is the varying coefficient model
y(
t)=
XT(
t)
β(
t)+
ε(
t), where(
y(
tij),
Xi(
tij),
tij) is the jth measurement of (
y(
t),
X(
t),
t) for the ith subjects,
β(
t)=(
β1(
t),…,
βp(
t))
TT are smooth nonparametric coefficient curves. We consider B-spline M-estimators by minimizing \sum_i=1^m \sum_j=1^n_i \rho\left(y_i j-X_i^\tau\left(t_i j\right) \beta\left(t_i j\right)\right) over
β(
t) in a linear space of B-spline function. If the true coefficient function are smooth up to order
r (
r > 1/2), we show that the optimal global convergence rate of
n-2/(2r+1) (Stone(1985)) is attainted for the B-spline M-estimators if the number of knots is the order of
n1/(2r+1).