Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory

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	Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory
	Lu, Zudi ; Tjostheim, Dag ; Yao, Qiwei
	2007
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	17 期号:1 页码:177-197
摘要	We establish the asymptotic theory for the estimation of adaptive varying-coefficient linear models. More specifically, we show that the estimator of the index parameter is root-n-consistent. It differs from the locally optimal estimator that has been proposed in the literature with a prerequisite that the estimator is within a n(-delta)-distance of the true value. To this end, we establish two fundamental lemmas for the asymptotic properties of the estimators of parametric components in a general semiparametric setting. Furthermore, the estimation for the coefficient functions is asymptotically adaptive to the unknown index parameter. Asymptotic properties are derived using the empirical process theory for strictly stationary beta-mixing processes.
关键词	adaptive varying-coefficient model asymptotic normality beta-mixing empirical process index parameter root-n consistency uniform convergence
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000245739500013
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4851
专题	中国科学院数学与系统科学研究院
通讯作者	Lu, Zudi
作者单位	1.Univ London London Sch Econ & Polit Sci, Dept Stat, London WC2A 2AE, England 2.Curtin Univ Technol, Dept Math & Stat, Perth, WA 6845, Australia 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 4.Univ Bergen, Dept Math, N-5007 Bergen, Norway 5.Peking Univ, Guanghua Sch Management, Beijing 100871, Peoples R China
推荐引用方式 GB/T 7714	Lu, Zudi,Tjostheim, Dag,Yao, Qiwei. Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory[J]. STATISTICA SINICA,2007,17(1):177-197.
APA	Lu, Zudi,Tjostheim, Dag,&Yao, Qiwei.(2007).Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory.STATISTICA SINICA,17(1),177-197.
MLA	Lu, Zudi,et al."Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory".STATISTICA SINICA 17.1(2007):177-197.