共查询到20条相似文献,搜索用时 15 毫秒
1.
Alfredas Račkauskas 《Acta Appl Math》1999,58(1-3):237-246
For a projection estimator fn of an unknown density f we investigate the behavior of large deviations probability P{Tn > rn} when rn , where Tn is appropriately centered and normed quadratic error fn-f)2. 相似文献
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In this paper, we propose a stochastic restricted s–K estimator in the linear model with additional stochastic linear restrictions by combining the ordinary mixed estimator(OME) with the s–K estimator. It is shown that the proposed estimator is superior to the OME and the s–K estimator under the mean squared error matrix criterion under some conditions. Finally, a numerical example and a Monte Carlo simulation study are given to verify the theoretical results. 相似文献
3.
文章讨论带测量误差的线性模型中参数估计的问题.当带测量误差的线性模型存在复共线的时候,通过几乎无偏估计的思想,提出了几乎无偏岭估计,并对估计的性质进行分析.通过研究发现几乎无偏岭估计不但能克服复共线性,同时有比较小的均方误差. 相似文献
4.
Alan T. K. Wan Anoop Chaturvedi 《Annals of the Institute of Statistical Mathematics》2000,52(2):332-342
There is a good deal of literature that investigates the properties of various operational variants of Theil's (1971, Principles of Econometrics, Wiley, New York) minimum mean squared error estimator. It is interesting that virtually all of the existing analysis to date is based on the premise that the model's disturbances are i.i.d., an assumption which is not satisfied in many practical situations. In this paper, we consider a model with non-spherical errors and derive the asymptotic distribution, bias and mean squared error of a general class of feasible minimum mean squared error estimators. A Monte-Carlo experiment is conducted to examine the performance of this class of estimators in finite samples. 相似文献
6.
考虑半参数回归模型$y_i=x_i\beta+g(t_i)+V_i$ $(1\le i\len)$, 其中$(x_i,t_i)$是已知的设计点, 斜率参数$\beta$是未知的,$g(\cdot)$是未知函数, 误差$V_i=\tsm^\infty_{j=-\infty}c_je_{i-j}$,$\tsm^\infty_{j=-\infty}|c_j|<\infty$并且$e_i$是负相关的随机变量.在适当的条件下, 我们研究了$\beta$与$g(\cdot)$小波估计量的强收敛速度.结果显示$g(\cdot)$的小波估计量达到最优收敛速度. 同时,对$\beta$小波估计量也作了模拟研究. 相似文献
7.
J. K. Ghorai 《Annals of the Institute of Statistical Mathematics》2003,55(3):619-637
The asymptotic distribution of the integrated squared error of positive wavelet density estimator is derived. It is shown
that three different cases arise depending on the smoothness of the unknown density. In each case the asymptotic distribution
is shown to be normal. A Martingale central limit theorem is used to prove the results. 相似文献
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正态线性模型中误差方差的二次型估计的容许性 总被引:2,自引:0,他引:2
设Y遵从N(Xβ,σ2In),秩(X)<n,在平方损失下,本交给出σ2的二次型估计在整个估计类中可容许的充要条件. 相似文献
10.
在均方误差矩阵(MSE-M)准则和在Pitman Closeness(PC)准则下,比较了部分根方估计相对于最小二乘估计的优良性. 相似文献
11.
Jeffrey D. Hart 《Statistics & probability letters》1984,2(6):363-369
The ability of a kernel density estimator to resolve modes of the underlying density is investigated. For various bimodal densities and three different kernels, the smallest sample size required for the expectation of an optimally smoothed kernel estimator to be bimodal is determined. The optimality criterion employed is equivalent to asymptotic mean integrated squared error for sufficiently smooth densities. 相似文献
12.
Xiaojing Xiang 《Annals of the Institute of Statistical Mathematics》1995,47(1):105-117
A necessary condition for the asymptotic normality of the sample quantile estimator isf(Q(p))=F(Q(p))>0, whereQ(p) is thep-th quantile of the distribution functionF(x). In this paper, we estimate a quantile by a kernel quantile estimator when this condition is violated. We have shown that the kernel quantile estimator is asymptotically normal in some nonstandard cases. The optimal convergence rate of the mean squared error for the kernel estimator is obtained with respect to the asymptotically optimal bandwidth. A law of the iterated logarithm is also established.This research was partially supported by the new faculty award from the University of Oregon. 相似文献
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Nguyen Tien Dung 《随机分析与应用》2019,37(1):74-89
In this paper, we consider a general class of functionals of stochastic differential equations driven by fractional Brownian motion. For this class, we obtain Gaussian estimates for the density and a quantitative central limit theorem. The main tools of the paper are the techniques of Malliavin calculus. 相似文献
16.
约束线性模型的条件部分根方估计 总被引:1,自引:0,他引:1
对于线性约束下的线性回归模型,针对设计矩阵的病态问题,提出一种条件部分根方估计.并在均方误差矩阵准则和Pitman Closeness准则下,比较了条件部分根方估计相对于约束最小二乘估计的优良性. 相似文献
17.
在平稳NA样本下,讨论了未知密度函数估计的一致渐近正态性.在适当的条件下给出了该密度函数估计一致渐近正态性的收敛速度.这个速度几乎达到n^{-1/6} 相似文献
18.
本文基于最优线性最小偏差估计的谱分解,定义了秩亏线性模型未知参数的一个新的线性有偏估计类,并讨论了它的许多重要性质,通过选取偏参数的适当形式,构造了许多很有意义的线性有偏估计,最后,给出了一个算例。 相似文献
19.
设X为p维随机向量,对于未知的投影方向θo(‖θo‖=1),本文利用θo的估计与核密度估计相结合的方法给出了θ^T0X的密度(方向密度)的核型密度估计,获得了此估计的逐点渐近正态性,逐点精确强收敛率,一致精确强收敛率以及均方误差收敛率,所得结果与最优性与已知方向上的核密度估计完全一致。作为例子,对θo为X协方差阵的最大特征值所对应的特征方向,我们给出了θo的满足条件的估计极其方向密度估计。 相似文献