变系数部分线性测量误差模型的B-样条估计（英文）

Spline Estimation of a Semiparametric Partially Linear EV Model

本文研究变系数部分线性测量误差模型的估计问题.利用纠偏方法,获得参数分量修正的最小二乘估计和非参数分量的B-样条估计.证明参数估计是相合的,渐近正态的;系数函数的B-样条估计达到非参数回归估计的最优收敛速度.模拟结果表明该方法是有效的.

This paper studies the estimation of a varying-coefficient partially linear model, in which covariates are measured with additive errors. By correcting the attenuation we propose a modified least squares estimator for the parametric component and a B-spline estimator for the nonparametric component. We show that the former is consistent, asymptotically normal and the latter achieves the optimal convergence rate of the usual nonparametric regression. In addition, a consistent estimator is also developed for the error variance. The methodology is illustrated by simulations.