KMS Of Academy of mathematics and systems sciences, CAS
truncatedestimatorofasymptoticcovariancematrixinpartiallylinearmodelswithheteroscedasticerrors | |
Yanmeng Zhao1; Jinhong You2; 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. |
条目包含的文件 | 条目无相关文件。 |
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