主要研究关于面板数据的有限阶固定效应的动态变系数回归模型(简称FDVCM)的统计推断问题.基于B-样条函数和广义矩估计(简称GMM)方法,首先建立了未知系数函数的非参数GMM估计,并证明大样本情形下该估计达到最优非参数收敛速度且具有渐近...主要研究关于面板数据的有限阶固定效应的动态变系数回归模型(简称FDVCM)的统计推断问题.基于B-样条函数和广义矩估计(简称GMM)方法,首先建立了未知系数函数的非参数GMM估计,并证明大样本情形下该估计达到最优非参数收敛速度且具有渐近正态性质.然而实际问题中模型的动态阶数完全未知,也可能存在其它冗余的回归变量,文中借助文[Fan J,Li R.Variable selection via penalized likelihood and its oracle properties.Journal of the American Statistical Association,2001,96(456):1348-1360]中的smoothly clipped absolute deviation(简称SCAD)惩罚函数同时识别真实的动态阶数和显著的外生回归变量.同时建立了压缩估计的Oracle性质,即所识别的模型与真实模型中的参数估计具有相同的渐近分布.最后,无论是数值试验还是实例数据分析都验证了本文方法的合理性和可行性.展开更多
In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an o...In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an optimal approximation order.This method provides an efficient tool for describing many approximation schemes involving values and(or) derivatives of a given function.展开更多
This paper proposes an extended model based on ACR nmdel： Functional coefficient autoregressive conditional root model （FCACR）. Under some assumptions, the authors show that the process is geometrically ergodic, st...This paper proposes an extended model based on ACR nmdel： Functional coefficient autoregressive conditional root model （FCACR）. Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence Op（hv＋1 ＋ n-1/3）. By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.展开更多
文摘主要研究关于面板数据的有限阶固定效应的动态变系数回归模型(简称FDVCM)的统计推断问题.基于B-样条函数和广义矩估计(简称GMM)方法,首先建立了未知系数函数的非参数GMM估计,并证明大样本情形下该估计达到最优非参数收敛速度且具有渐近正态性质.然而实际问题中模型的动态阶数完全未知,也可能存在其它冗余的回归变量,文中借助文[Fan J,Li R.Variable selection via penalized likelihood and its oracle properties.Journal of the American Statistical Association,2001,96(456):1348-1360]中的smoothly clipped absolute deviation(简称SCAD)惩罚函数同时识别真实的动态阶数和显著的外生回归变量.同时建立了压缩估计的Oracle性质,即所识别的模型与真实模型中的参数估计具有相同的渐近分布.最后,无论是数值试验还是实例数据分析都验证了本文方法的合理性和可行性.
文摘In this paper we use the simplex B-spline representation of polynomials or piecewise polynomials in terms of their polar forms to construct several differential or discrete bivariate quasi interpolants which have an optimal approximation order.This method provides an efficient tool for describing many approximation schemes involving values and(or) derivatives of a given function.
基金supported by the National Nature Science Foundation of China under Grant Nos.10961026, 11171293,71003100,70221001,70331001,and 10628104the Ph.D.Special Scientific Research Foundation of Chinese University under Grant No.20115301110004+2 种基金Key Fund of Yunnan Province under Grant No.2010CC003the Fundamental Research Funds for the Central Universitiesthe Research Funds of Renmin University of China under Grant No.11XNK027
文摘This paper proposes an extended model based on ACR nmdel： Functional coefficient autoregressive conditional root model （FCACR）. Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence Op（hv＋1 ＋ n-1/3）. By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.
