Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates

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	Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates
	Lu, ZD ; Gijbels, I
	2001-02-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
ISSN	1006-9283
卷号	44 期号:2 页码:168-183
摘要	Partly linear regression model is useful in practice, but little is investigated in the literature to adapt it to the real data which are dependent and conditionally heteroscedastic. In this paper, the estimators of the regression components are constructed via local polynomial fitting and the large sample properties are explored. Under certain mild regularities, the conditions are obtained to ensure that the estimators of the nonparametric component and its derivatives are consistent up to the convergence rates which are optimal in the i.i.d. case, and the estimator of the parametric component is root- n consistent with the same rate as for parametric model. The technique adopted in the proof differs from that used and corrects the errors in the reference by Hamilton and Truong under i.i.d. samples.
关键词	ARCH (GARCH) errors dependent samples local polynomial fitting convergence rates partly linear model root-n consistency
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000167195800004
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16028
专题	中国科学院数学与系统科学研究院
通讯作者	Lu, ZD
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Catholique Louvain, Inst Stat, B-1348 Louvain, Belgium
推荐引用方式 GB/T 7714	Lu, ZD,Gijbels, I. Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,2001,44(2):168-183.
APA	Lu, ZD,&Gijbels, I.(2001).Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,44(2),168-183.
MLA	Lu, ZD,et al."Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 44.2(2001):168-183.