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Asymptotic properties for the estimators in heteroscedastic semiparametric EV models with α-mixing errors
Statistics ( IF 1.9 ) Pub Date : 2021-01-06
Mengmei Xi, Rui Wang, Wei Yu, Yan Shen, Xuejun Wang

ABSTRACT

In this paper, the heteroscedastic semiparametric errors-in-variables (EV) model, y i = ξ i β + g ( t i ) + ϵ i , x i = ξ i + μ i , 1 i n , is considered, where ϵ i = σ i e i , σ i 2 = f ( u i ) , β is an unknown parameter to be estimated and g ( ) and f ( ) are unknown functions to be estimated. Under some suitable conditions, asymptotic properties for the estimators of β, g ( ) and f ( ) are presented based on α-mixing random errors. In addition, finite sample behavior of the estimators is provided via simulations to verify the validity of the theoretical results.



中文翻译:

具有α混合误差的异方差半参数EV模型中估计的渐近性质

摘要

本文采用异方差半参数变量误差(EV)模型, ÿ 一世 = ξ 一世 β + G Ť 一世 + ϵ 一世 X 一世 = ξ 一世 + μ 一世 1个 一世 ñ ,被认为在哪里 ϵ 一世 = σ 一世 Ë 一世 σ 一世 2 = F ü 一世 β是一个未知参数,需要估计, G F 是要估计的未知函数。在某些合适的条件下,β的估计的渐近性质, G F 基于α-混合随机误差给出。另外,通过仿真提供了估计器的有限样本行为,以验证理论结果的有效性。

更新日期:2021-01-06
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