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Consider a partial linear model, where the expectation of a random variable Y depends on covariates $(x, z)$ through F(θ₀ x + m₀(z)), with θ₀ an unknown parameter, and m₀ an unknown function. We apply the theory of empirical processes to derive the asymptotic properties of the penalized quasi-likelihood estimator.
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Mammen et al. (1997) studied this question.
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