胡尧, 邓春霞, 李丽. 非参数回归模型均值与方差双重变点的估计[J]. 应用概率统计, 2018, 34(3): 251-264. DOI: 10.3969/j.issn.1001-4268.2018.03.003
引用本文: 胡尧, 邓春霞, 李丽. 非参数回归模型均值与方差双重变点的估计[J]. 应用概率统计, 2018, 34(3): 251-264. DOI: 10.3969/j.issn.1001-4268.2018.03.003
HU Yao, DENG Chunxia, LI Li. Estimation of Change Point in Mean and Variance of Non-parametric Regression Model[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(3): 251-264. DOI: 10.3969/j.issn.1001-4268.2018.03.003
Citation: HU Yao, DENG Chunxia, LI Li. Estimation of Change Point in Mean and Variance of Non-parametric Regression Model[J]. Chinese Journal of Applied Probability and Statistics, 2018, 34(3): 251-264. DOI: 10.3969/j.issn.1001-4268.2018.03.003

非参数回归模型均值与方差双重变点的估计

Estimation of Change Point in Mean and Variance of Non-parametric Regression Model

  • 摘要: 本文基于核估计和小波方法研究异方差非参数回归模型中均值函数和方差函数均存在变点的估计问题. 首先, 构造基于均值函数的核估计量,求出均值变点位置及跳跃度的估计. 其次, 利用小波方法构造方差变点的估计量,运用该估计量获得方差变点位置与跳跃度的估计, 给出变点估计量的渐近性质.最后数值模拟并通过比较验证了方法的有效性.

     

    Abstract: This paper studies the estimation of change point in mean and variance function of a non-parametric regression model based on kernel estimation and wavelet method. First, kernel estimation of mean function is developed and it is used to estimate the position and jump size of mean change. Second, wavelet methods are applied to derive the variance estimator which is used to estimate the location and jump size of the change point in variance. The asymptotic properties of these estimators are proved. Finally, the results from a numerical simulations and comparison study show that validate the effectiveness of our method.

     

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