ON ASYMPTOTICALLY EFFICIENT ESTIMATION FOR A SEMIPARAMETRIC REGRESSION MODEL

被引：0

作者：

熊健

梁华

机构：

来源：

Acta Mathematicae Applicatae Sinica | 1997年 / 03期

关键词：

Asymptotically efficient estimation; adaptive estimation; semiparametric regression model;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Consider the model Y=Xτβ+g(T)+ε. Here g is a smooth but unknown function, β is a k×1 parameter vector to be estimated and ε, is an random error with mean 0 and variance σ2. The asymptotically efficient estimator of β is constructed on the basis of the model Yi=Xτiβ+g(Ti)+εi, i=1,…,n, when the density functions of (X,T) and ε are known or unknown.Finally, an asymptotically normal estimator of σ2 is given.

引用

页码：302 / 313

页数：12

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