带有误差变量的自回归模型的局部多项式估计

Local Polynomial Estimator of the Regression Function in Autoregressive Models with Errors in Variables

该文主要研究带有误差变量的自回归模型的自回归函数的非参数估计问题,应用卷积核函数,给出了自回归函数的局部多项式估计,考察了局部多项式估计的相合性和渐近正态性,最后作了模拟计算.

In this paper, the authors study the problem of nonparametric estimation of the autoregression function in autoregressive models with errors-in-variables. With the application of the deconvolution kernel, the local polynomial estimator of the autoregression function is given. Under some specific conditions, the properties of consistency and asymptotic normality of the estimator can be obtained here. The performance of the method is studied by some simulation experiments.