truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors

CSpace > 应用数学研究所

	truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors
	Yanmeng Zhao 1; Jinhong You 2; Yong Zhou3
	2006-01-01
发表期刊	actamathematicaeapplicataesinica
ISSN	0168-9673
卷号	22 期号:4 页码:565
摘要	A partially linear regression model with heteroscedastic and/or serially correlated errors is studied here. It is well known that in order to apply the semiparametric least squares estimation （SLSE） to make statistical inference a consistent estimator of the asymptotic covariance matrix is needed. The traditional residual-based estimator of the asymptotic covariance matrix is not consistent when the errors are heteroscedastic and/or serially correlated. In this paper we propose a new estimator by truncating, which is an extension of the procedure in White. This estimator is shown to be consistent when the truncating parameter converges to infinity with some rate.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/49117
专题	应用数学研究所
作者单位	1.深圳大学 2.北卡罗来纳大学教堂山分校 3.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Yanmeng Zhao,Jinhong You,Yong Zhou. truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors[J]. actamathematicaeapplicataesinica,2006,22(4):565.
APA	Yanmeng Zhao,Jinhong You,&Yong Zhou.(2006).truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors.actamathematicaeapplicataesinica,22(4),565.
MLA	Yanmeng Zhao,et al."truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors".actamathematicaeapplicataesinica 22.4(2006):565.