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时间序列方差模型样条估计的一致收敛速度 被引量：1

Uniform Rate of Convergence of Spline Estimator for Time Series Variance Models
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摘要 对于一类时间序列非参数方差模型,在强混合相依条件下,证明了非参数方差函数的多项式样条估计的一致相合性,得到了收敛速度. A kind of nonparametric variance models for time series is considered in this paper. Under strongly mixing dependent condition, uniform consistency of polynomial spline estimator of nonparametric variance function is proved. Also, the rate of convergence is obtained.
作者 武新乾 张建侠 冯爱芬
机构地区 河南科技大学理学院
出处 《河南工程学院学报（自然科学版）》 2009年第3期71-73,共3页 Journal of Henan University of Engineering：Natural Science Edition
基金 河南省教育厅自然科学研究项目(2009A110005) 河南科技大学博士科研启动基金(09001322)
关键词 方差模型 非参数方法 样条 强混合 一致收敛 variance models nonparametric method spline strongly mixing uniform convergence
分类号 O212.7 [理学—概率论与数理统计]
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参考文献10

  • 1DAHL C M , LEVINE M. Nonparametric estimation of volatility models with serially dependent innovations [ J ]. Statistics & Probability Letters, 2006, 76 (18): 2 007 -2 016.
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二级参考文献10

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河南工程学院学报（自然科学版）
2009年 第3期

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