变系数模型B样条M估计的收敛性

Convergence Rate of B-spline M-estimators in the Varying Coefficient Model

  • 摘要: 考虑变系数模型y(t)=XT(t)β(t)+ε(t).设(y(tij),Xi(tij),tij)是第i个个体的第j次观察.函数系数β(t)=(β1(t),…,βp(t))T是光滑的非参数函数向量,在B样条的函数空间上最小化 \sum_i=1^m \sum_j=1^n_i \rho\left(y_i j-X_i^\tau\left(t_i j\right) \beta\left(t_i j\right)\right) 得到β(t)的B样条M估计.若βk(t),k=1,…,pr(r>1/2)阶光滑的,证得若结点的数目是O(n1/(2r+1)),则β(t)的B样条M估计达到最优的收敛速度O(n-r/(2r+1))(Stone(1985)).

     

    Abstract: The model being studied in this paper is the varying coefficient model y(t)=XT(t)β(t)+ε(t), where(y(tij),Xi(tij),tij) is the jth measurement of (yt),Xt),t) for the ith subjects,β(t)=(β1(t),…,βp(t))TT are smooth nonparametric coefficient curves. We consider B-spline M-estimators by minimizing \sum_i=1^m \sum_j=1^n_i \rho\left(y_i j-X_i^\tau\left(t_i j\right) \beta\left(t_i j\right)\right) over βt) in a linear space of B-spline function. If the true coefficient function are smooth up to order rr > 1/2), we show that the optimal global convergence rate of n-2/(2r+1) (Stone(1985)) is attainted for the B-spline M-estimators if the number of knots is the order of n1/(2r+1).

     

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