王明辉, 柳向东, 李银. 部分线性自回归模型中回归函数的半参数估计[J]. 应用概率统计, 2020, 36(1): 26-40. DOI: 10.3969/j.issn.1001-4268.2020.01.003
引用本文: 王明辉, 柳向东, 李银. 部分线性自回归模型中回归函数的半参数估计[J]. 应用概率统计, 2020, 36(1): 26-40. DOI: 10.3969/j.issn.1001-4268.2020.01.003
WANG Minghui, LIU Xiangdong, LI Yin. A Semiparametric Estimation of a Regression Function in the Partially Linear Autoregressive Model[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 26-40. DOI: 10.3969/j.issn.1001-4268.2020.01.003
Citation: WANG Minghui, LIU Xiangdong, LI Yin. A Semiparametric Estimation of a Regression Function in the Partially Linear Autoregressive Model[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(1): 26-40. DOI: 10.3969/j.issn.1001-4268.2020.01.003

部分线性自回归模型中回归函数的半参数估计

A Semiparametric Estimation of a Regression Function in the Partially Linear Autoregressive Model

  • 摘要: 本文主要研究具有一阶自回归误差的三阶部分线性自回归模型中回归函数的半参数估计问题. 假定回归函数来自某个参数分布族,利用条件最小二乘法得到参数估计量, 再结合非参数核函数进行调整,给出回归函数的半参数估计量. 并在一定条件下, 证明了估计量具有相合性.最后, 通过模拟研究验证了此方法的有效性.

     

    Abstract: In this paper, semiparametric estimation of a regression function in the third order partially linear autoregressive model with first order autoregressive errors is mainly studied. We suppose that the regression function has a parametric framework, and use the conditional least squares method to obtain the parameter estimators. Then semiparametric estimators of the regression function can be given by combining with the nonparametric kernel function adjustment. Furthermore, under certain conditions, the consistency of the estimators is proved. Finally, simulation research is presented to evaluate the effectiveness of the proposed method.

     

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