| 连续时间下非参数回归模型的误差密度估计的渐近均方误差 |
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| 引用本文： | 吴明新,沈家.连续时间下非参数回归模型的误差密度估计的渐近均方误差[J].应用数学,2003,16(1):116-120. |
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| 作者姓名： | 吴明新 沈家 |
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| 作者单位： | 复旦大学统计系,上海,200433 |
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| 基金项目： | TheprojectsupportedbytheNationalNaturalScienceFoundationofChina(199710 15 ) |
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| 摘 要： | 本文研究了连续时间下非参数回归的误差官度估计的收敛速度，给出了一定条件下误差密度的估计量^fT(x)的均方收敛速度，详细说明了以下重要结果：E^fT(x)-f(x)]^2＝O(T^-1/4)其中f(x)表示误差过程｛et,t≥0｝的未知密度。
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| 关 键 词： | 连续时间 非参数回归模型 误差密度估计 渐近均方误差 收敛速度 均方收敛 |
The Asymptotic Quadric Error of the Error-Density Estimator of Nonparameteric Regression in Continuous Time Processes |
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| WU Ming-xin,SHEN Jia.The Asymptotic Quadric Error of the Error-Density Estimator of Nonparameteric Regression in Continuous Time Processes[J].Mathematica Applicata,2003,16(1):116-120. |
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| Authors: | WU Ming-xin SHEN Jia |
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| Abstract: | In this paper,we are mainly concerned with the rate of convergence of the error-density estimator of nonparametric regression in continuous time.We have proved that under suitable conditions the kernel density estimator fT satisfies EfT(x)-f(x)]2 = O(T-1/4),where f denotes the unknown density of the error process {e ,t ≥ 0}. |
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| Keywords: | Rate of convergence error-density estimator Continuous-time regression model mean square convergence |
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