On asymptotically efficient estimation for a semiparametric regression model

被引：0
|
作者：
Xiong J. [1 ]
Liang H. [2 ]
机构：
[1] Department of Mathematics, Xiangtan Teacher's College
[2] Institute of Systems Science, Chinese Academy of Sciences
来源：
Acta Mathematicae Applicatae Sinica | 1997年 / 13卷 / 3期
基金：
中国国家自然科学基金;
关键词：
Adaptive estimation; Asymptotically efficient estimation; Semiparametric regression model;
D O I：
10.1007/BF02025885
中图分类号：
学科分类号：
摘要：
Consider the model Y=XTβ+g(T)+ε. Here g is a smooth but unknown function, β is a kx1 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=XiT β+g(Ti)+e i, 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.
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页码：302 / 313
页数：11
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