An Improved Two-stage Estimator in a Partly Linear Model

• Autorzy: Weimin Qian , Volker Mammitzsch

Warianty tytułu

Poprawiony dwustopniowy estymator modelu częściowo liniowego

• Języki publikacji: EN

Abstrakty

EN

Consider the partly linear model y_i = XTi β + g (t_i) + e_i, 1 ≤ i ≤ n. Chai et al. (1995) suggested a two-stage estimator of β. In this paper, an improved two-stage estimator β_n of β and an estimator ĝ_n(.) of the unknown function g(.) are established. The strong consistency and consistency rate of β_n to β is given and the asymptotic normality of β_n is studied. We also obtain the optimal uniform convergence rate of ĝ_n to g under rather weak assumptions. (original abstract)

Rozpatrzono model częściowo liniowy y_i = XTi β + g (t_i) + e_i, 1 ≤ i ≤ n, zamieszczony w pracy Chai G.X. i współautorów (1995), w którym sugerowano zastosowanie dwustopniowego estymatora parametru β. Zaproponowano poprawiony dwustopniowy estymator β_n parametru β, a także estymator ĝ_n(.) nieznanej funkcji g (.). Wykazano silną zgodność, a także stopień zbieżności estymatora β_n z β oraz asymptotyczną normalność estymatorów β_n. Uzyskano ponadto optymalny stopień jednostajnej zbieżności ĝ_n do g przy bardzo słabych założeniach. (abstrakt oryginalny)

Słowa kluczowe

EN

Estimators; Linear models

PL

Estymatory; Modele liniowe

• Czasopismo: Badania Operacyjne i Decyzje
• Rocznik: 2000
• Numer: nr 3-4
• Strony: 91--116

Twórcy

autor

Weimin Qian

• Tongji University, Shanghai, China

autor

Volker Mammitzsch

• Philipps-Universität Marburg, Germany

Bibliografia

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