半参数模型的密度函数估计

ESTIMATION OF DENSITY FUNCTION FOR SEMI-PARAMETRIC MODEL

  • 摘要:X,X1,…,Xn为一串彼此独立具有相同分布的k维随机向量序列,此分布的密度函数fx)∈\boldsymbolF \supseteq \mathscrF^*=\left\f(x, \theta): \theta \in \Theta \subseteq R^p\right\我们建立了fx)的一个估计不论是参数模型(ff0)成立与否皆几乎处处收敛到f(x)而且在ff0时此估计比非参数估计要好,我们不仅考虑了正则条件也考虑了非正则条件。

     

    Abstract: Let X, X_1, \ldots, X_n be a sequence of iid K-dimensional random vectors with density function f(x) \epsilon \mathscrF \geqslant \boldsymbolS^-0=\left\f(x, \theta): \theta \in \Theta \subseteq R^p\right\ we have built an estimate for f(x) sach that it converges to f(x) almost surely whether the parametric model (f \in \mathcalF^0) or not and when f \in \mathcalF^0 it is better than the nonparametric estimate \hatf_n(x), we consider both the regularity case and the nonregularity case.

     

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