纵向数据下半参数回归模型估计的渐近性质
Asymptotic Properties of Estimators in Semiparametric Regression Model for Longitudinal Data
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摘要: 本文考虑纵向数据下半参数回归模型: y_ij=x_ij'\beta+g(t_ij)+e_ij,\;i=1,\cdots,m,\;j=1,\cdots,n_i. 基于最小二乘法和一般的非参数权函数方法给出了模型中参数\beta和回归函数g(\cdot)的估计, 并在适当条件下证明了\beta估计量的渐近正态性和g(\cdot)估计量的最优收敛速度\bd 模拟结果表明我们的估计方法在有限样本情形有良好的效果Abstract: In this paper, we consider the following semiparametric regression model for longitudinal data: y_ij=x_ij'\beta+g(t_ij)+e_ij. The estimators of \beta and g(\cdot) are obtained by using the least squares and usual nonparametric weight function method, the asymptotic normality of the estimator of \beta and the optimal convergence rate of the estimator of g(\cdot) are proved under the suitable conditions. Some simulations are conducted to demonstrate the finite sample performances of the estimation procedures.