半参数二阶段估计参数的渐近正态性  

Asymptotic normality of two stage estimation for semiparametric models

作　　者：金丽宏[1] 

机构地区：[1]武汉科技大学城市学院公共课部,湖北武汉430083

出　　处：《湖北师范学院学报（自然科学版）》2016年第1期12-15,共4页Journal of Hubei Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(40974002;41374017)

摘　　要：考虑半参数模型L_i=b^T_ix+g(t_i)+e_i,1≤i≤n,x为未知回归参数,g(·)为D上的未知Borel函数。利用二阶段估计方法并综合最小二乘法建立了参数的估计量,并研究了第一阶段估计量α*、g(t)*的渐近正态性。We deal with the two stages estimation method of semiparametrie model, and define the first stage estimators of parametric and nonparametric by using least square and two - stage estimation under the additivity of the model. And then the paper proves the estimators are the consistency,and obtain the second stage estimators of parametric and nonparametric with the first stage estimators by using generated least square and nearer kernel weight function. The second stage estimators are better than the first stage ones concerning variance, and meantime the paper proves estimator is the approximate normal distribution.

关 键 词：半参数模型 二阶段估计 渐近正态性 

分 类 号：O212.7[理学—概率论与数理统计]