Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates
文献类型：期刊论文
| 作者 | Lu, ZD; Gijbels, I |
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
 |
| 出版日期 | 2001-02-01 |
| 卷号 | 44期号:2页码:168-183 |
| 关键词 | ARCH (GARCH) errors dependent samples local polynomial fitting convergence rates partly linear model root-n consistency |
| ISSN号 | 1006-9283 |
| 英文摘要 | Partly linear regression model is useful in practice, but little is investigated in the literature to adapt it to the real data which are dependent and conditionally heteroscedastic. In this paper, the estimators of the regression components are constructed via local polynomial fitting and the large sample properties are explored. Under certain mild regularities, the conditions are obtained to ensure that the estimators of the nonparametric component and its derivatives are consistent up to the convergence rates which are optimal in the i.i.d. case, and the estimator of the parametric component is root- n consistent with the same rate as for parametric model. The technique adopted in the proof differs from that used and corrects the errors in the reference by Hamilton and Truong under i.i.d. samples. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000167195800004 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/16027]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Lu, ZD |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Catholique Louvain, Inst Stat, B-1348 Louvain, Belgium |
| 推荐引用方式 GB/T 7714 | Lu, ZD,Gijbels, I. Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,2001,44(2):168-183. |
| APA | Lu, ZD,&Gijbels, I.(2001).Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,44(2),168-183. |
| MLA | Lu, ZD,et al."Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 44.2(2001):168-183. |
入库方式： OAI收割
来源：数学与系统科学研究院
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