应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2009年
4期
409-420
,共12页
变系数模型%小波%最小二乘估计%渐近正态性%收敛速度
變繫數模型%小波%最小二乘估計%漸近正態性%收斂速度
변계수모형%소파%최소이승고계%점근정태성%수렴속도
Varying-coefficient models%wavelet%least-square estimation%asymptotic normality%convergence rate.
变系数模型是近年来文献中经常出现的一种统计模型.本文主要研究了变系数模型的估计问题,提出运用小波的方法估计变系数模型中的系数函数,小波估计的优点是避免了象核估计、光滑样条等传统的变系数模型估计方法对系数函数光滑性的一些严格限制.并且,我们还得到了小波估计的收敛速度和渐近正态性.模拟研究表明变系数模犁的小波估计有很好的估计效果.
變繫數模型是近年來文獻中經常齣現的一種統計模型.本文主要研究瞭變繫數模型的估計問題,提齣運用小波的方法估計變繫數模型中的繫數函數,小波估計的優點是避免瞭象覈估計、光滑樣條等傳統的變繫數模型估計方法對繫數函數光滑性的一些嚴格限製.併且,我們還得到瞭小波估計的收斂速度和漸近正態性.模擬研究錶明變繫數模犛的小波估計有很好的估計效果.
변계수모형시근년래문헌중경상출현적일충통계모형.본문주요연구료변계수모형적고계문제,제출운용소파적방법고계변계수모형중적계수함수,소파고계적우점시피면료상핵고계、광활양조등전통적변계수모형고계방법대계수함수광활성적일사엄격한제.병차,아문환득도료소파고계적수렴속도화점근정태성.모의연구표명변계수모리적소파고계유흔호적고계효과.
This paper is concerned with the estimation of varying-coefficient model that is frequently used in statistical modeling.The wavelet procedures are developed to estimate the coefficient functions.The advantage of this approach is to avoid the restrictive smoothness requirement for nonparametric function of the traditional smoothing approaches for varying-coefficient model,such as kernel and local polynomial methods.Furthermore,the convergence rate of the wavelet estimators is derived and the asymptotic normality is established.Finite sample properties are studied through Monte Carlo simulations.
