摘要
本文讨论了参数随时间变化的一类多元回归模型,提出了一种非参数估计方法——准最小二乘核函数估计方法。证明了在一定的条件下所得的估计具有相容性,推广了Robinson的结果。
This paper deals with a multiple regression with time-varying parameters. A. method of non-parametric estimation, known as pseudo least squares estimator was given. It is shown that the estimation is consistent and ths results obtained by Robinson can be generalized.
出处
《石油大学学报（自然科学版）》
CSCD
1990年第2期107-116,共10页
Journal of the University of Petroleum,China(Edition of Natural Science)
关键词
多元回归
时变参数
非参数估计
Time-varying parameters
Nonparametric estimation
Least square estimator
Multiple regression
