KMS Of Academy of mathematics and systems sciences, CAS
Nonparametric identification for nonlinear autoregressive time series models: Convergence rates | |
Lu, ZD; Cheng, P | |
1999-04-01 | |
发表期刊 | CHINESE ANNALS OF MATHEMATICS SERIES B |
ISSN | 0252-9599 |
卷号 | 20期号:2页码:173-184 |
摘要 | In this paper, the optimal convergence rates of estimators based on kernel approach for nonlinear AR model are investigated in the sense of Stone([17, 18]). By combining the alpha-mixing property of the stationary solution with the characteristics of the model itself, the restrictive conditions in the literature which are not easy to be satisfied by the nonlinear AR model are removed, and the mild conditions are obtained to guarantee the optimal rates of the estimator of autoregression function. In addition, the strongly consistent estimator of the variance of white noise is also constructed. |
关键词 | nonlinear AR model optimal convergence rates Kernel approach autoregression function variance of white noise consistency |
语种 | 英语 |
WOS研究方向 | Mathematics |
WOS类目 | Mathematics |
WOS记录号 | WOS:000080071600005 |
出版者 | BALTZER SCI PUBL BV |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/14379 |
专题 | 中国科学院数学与系统科学研究院 |
作者单位 | Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China |
推荐引用方式 GB/T 7714 | Lu, ZD,Cheng, P. Nonparametric identification for nonlinear autoregressive time series models: Convergence rates[J]. CHINESE ANNALS OF MATHEMATICS SERIES B,1999,20(2):173-184. |
APA | Lu, ZD,&Cheng, P.(1999).Nonparametric identification for nonlinear autoregressive time series models: Convergence rates.CHINESE ANNALS OF MATHEMATICS SERIES B,20(2),173-184. |
MLA | Lu, ZD,et al."Nonparametric identification for nonlinear autoregressive time series models: Convergence rates".CHINESE ANNALS OF MATHEMATICS SERIES B 20.2(1999):173-184. |
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