鞅差误差下异方差部分线性回归模型估计的矩相合性(英文)  

Moment Consistency of Estimators in Heteroscedastic Partially Linear Model Under Martingale Difference Errors

作　　者：李帅[1] 范国良[1] 唐仕冰[1] 

机构地区：[1]安徽工程大学数理学院,安徽芜湖241000

出　　处：《安徽师范大学学报（自然科学版）》2013年第2期103-109,共7页Journal of Anhui Normal University(Natural Science)

基　　金：Supported by the National Natural Science Foundation of China(71171003);Provincial Natural Science Research Project of Anhui Colleges(KJ2011A032);Anhui Polytechnic University Foundation for Recruiting Talent(2011YQQ004);Anhui Provincial Natural Scienice Foundation(1208085QA04);Anhui Normal University postdoctoral positions funded

摘　　要：本文研究了误差为鞅差序列下的异方差部分线性回归模型.基于非参数估计量,我们导出了最小二乘法和加权最小二乘法的参数估计量,并且在适当条件下得到了它们的矩相合性.同时,通过模拟研究了有限样本下估计量的性能.This paper studies the heteroscedastic partially linear regression model under martingale difference errors. Based on the nonparametric estimates, we derive the least-squares estimator and weighted least-squares estimator of slope parameter, and obtain their moment consistencies under some mild conditions. Finite sample behavior of the estimators is investigated via simulations too.

关 键 词：鞅差 异方差部分线性回归模型 矩相合性 最小二乘估计 加权最小二乘估计 

分 类 号：O212.7[理学—概率论与数理统计]