Semiparametric estimation of regression functions in autoregressive models

被引：8

作者：

Yu, Zhuoxi ^{[1
,2
]}

Wang, Dehui ^{[1
]}

Shi, Ningzhong ^{[3
]}

机构：

[1] Jilin Univ, Dept Stat, Coll Math, Changchun 130012, Peoples R China

[2] Changchun Taxation Coll, Dept Appl Math, Changchun 130117, Peoples R China

[3] NE Normal Univ, Changchun 130021, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 02期

基金：

中国国家自然科学基金; 高等学校博士学科点专项科研基金;

关键词：

NONPARAMETRIC DENSITY-ESTIMATION;

D O I：

10.1016/j.spl.2008.07.047

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper proposes a semiparametric method for an autoregressive model by combining a parametric regression estimator with a nonparametric adjustment. The regression has a parametric framework. After the parameter is estimated through a general parametric method, the obtained regression function is adjusted by a nonparametric factor, and the nonparametric factor is obtained through a natural consideration of the local L-2-fitting criterion. Some asymptotic and simulation results for the semiparametric method are discussed. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：165 / 172

页数：8

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