半参数回归模型的累积法——非参数估计基于小波光滑

Cumulative method in semiparametric regression model-nonparametric estimator base on wavelet smoothing

考虑半参数回归模型yi=XTiβ +s(ti) +εi (i=1 ,… ,n)其中噪声序列εi不独立。在非参数分量s(ti)基于小波光滑的情况下 ,用累积估计的方法 ,得到了参数 β和非参数s(ti)的估计量 ;

Consider the semiparametric regression model y i=X T iβ+s(t i)+ε i (i=1,...,n) Where the noise ε i is assumed to be dependent. Using cumulative estimation method, estimators of parameter β and nonparameter s(t i) based on wavelet smoothing are obtained. And then three simple statistic properties of estimators are discussed.