Parameter Estimation of Varying Coefficients Structural EV Model with Time Series  

作　　者：Yan Yun SU Heng Jian CUI Kai Can LI 

机构地区：[1]School of Mathematics and Statistics,Hubei Normal University [2]School of Mathematical Sciences,Capital Normal University

出　　处：《Acta Mathematica Sinica,English Series》2017年第5期607-619,共13页数学学报（英文版）

基　　金：Supported by the Educational Commission of Hubei Province of China(Grant No.D20112503);National Natural Science Foundation of China(Grant Nos.11071022,11231010 and 11028103);the foundation of Beijing Center of Mathematics and Information Sciences

摘　　要：In this paper, the parameters of a p-dimensional linear structural EV(error-in-variable)model are estimated when the coefficients vary with a real variable and the model error is time series.The adjust weighted least squares(AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.In this paper, the parameters of a p-dimensional linear structural EV(error-in-variable)model are estimated when the coefficients vary with a real variable and the model error is time series.The adjust weighted least squares(AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.

关 键 词：Varying coefficient EV model adjust weighted least squares estimators linear stationary time series CONSISTENCY asymptotic normality 

分 类 号：O212[理学—概率论与数理统计]