半参数回归非线性小波误差密度估计

In this paper,a semiparametric regression model in which errors are i.i.d random variables from an unknown density f(·) is considered.Based on Hall et al.(1995),a nonlinear wavelet estimation of f(·) without restrictions of continuity everywhere on f(·) is given,and the convergence rate of the estimators in L2 is obtained.     

半参数回归的线性小波光滑

考虑半参数回归模型上未知函数，ｙｉ＝ｘ_ｉβ＋ｇ（ｔｉ）＋ｅｉ，１≤ｉ≤ｎ，ｇ（·）为Ｒ~１上未知参数，β∈Ｒ~ｐ为待估参数， Ａｎｔｏｎｉａｄｓ［３］中给出了非参数回归模型的小波估计，借鉴［３］我们利用偏残差法给出了β、ｇ（·）的小波估计β、ｇ（·）．本文研究了β、ｇ（·）的弱相合性及它们偏差和方差的渐近性质，并且得到了β的渐近正态性．