Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory
文献类型：期刊论文
| 作者 | Lu, Zudi; Tjostheim, Dag; Yao, Qiwei |
| 刊名 | STATISTICA SINICA
 |
| 出版日期 | 2007 |
| 卷号 | 17期号:1页码:177-197 |
| 关键词 | adaptive varying-coefficient model asymptotic normality beta-mixing empirical process index parameter root-n consistency uniform convergence |
| ISSN号 | 1017-0405 |
| 英文摘要 | We establish the asymptotic theory for the estimation of adaptive varying-coefficient linear models. More specifically, we show that the estimator of the index parameter is root-n-consistent. It differs from the locally optimal estimator that has been proposed in the literature with a prerequisite that the estimator is within a n(-delta)-distance of the true value. To this end, we establish two fundamental lemmas for the asymptotic properties of the estimators of parametric components in a general semiparametric setting. Furthermore, the estimation for the coefficient functions is asymptotically adaptive to the unknown index parameter. Asymptotic properties are derived using the empirical process theory for strictly stationary beta-mixing processes. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000245739500013 |
| 出版者 | STATISTICA SINICA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/4850]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Lu, Zudi |
| 作者单位 | 1.Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England 2.Curtin Univ Technol, Dept Math & Stat, Perth, WA 6845, Australia 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 4.Univ Bergen, Dept Math, N-5007 Bergen, Norway 5.Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China |
| 推荐引用方式 GB/T 7714 | Lu, Zudi,Tjostheim, Dag,Yao, Qiwei. Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory[J]. STATISTICA SINICA,2007,17(1):177-197. |
| APA | Lu, Zudi,Tjostheim, Dag,&Yao, Qiwei.(2007).Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory.STATISTICA SINICA,17(1),177-197. |
| MLA | Lu, Zudi,et al."Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory".STATISTICA SINICA 17.1(2007):177-197. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。