| 变系数模型的B样条S估计 |
| |
| 引用本文： | 解其昌,赖绍永.变系数模型的B样条S估计[J].武汉大学学报(理学版),2011,57(2):100-104. |
| |
| 作者姓名： | 解其昌 赖绍永 |
| |
| 作者单位： | 1. 西南财经大学金融学院,四川,成都,611130
2. 西南财经大学经济数学学院,四川,成都,611130 |
| |
| 基金项目： | 教育部重点项目(109140); 西南财经大学211三期特色项目(211DT03) |
| |
| 摘 要： | 使用一个B样条S估计方法来研究变系数模型,得到了系数函数估计的简约表达式和一个基于S估计的广义交叉核实变量选择准则(GCV),设计了一个迭代算法用来寻找最优的S估计.通过Monte Carlo实验证明,该方法是稳健可靠的.
|
| 关 键 词： | B样条S估计 变系数模型 迭代算法 Monte Carlo模拟 |
B Splines with S-Estimation for Varying Coefficient Models |
| |
| XIE Qichang,LAI Shaoyong.B Splines with S-Estimation for Varying Coefficient Models[J].JOurnal of Wuhan University:Natural Science Edition,2011,57(2):100-104. |
| |
| Authors: | XIE Qichang LAI Shaoyong |
| |
| Institution: | XIE Qichang1,LAI Shaoyong2(1.The School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,Sichuan,China,2.The School of Economic Mathematics,China) |
| |
| Abstract: | The B splines with S-estimation method is used for discussing the varying coefficient models.By employing this method,a simple estimation form of the coefficient functions is obtained and a generalized cross validation(GCV) criterion is derived for the S-estimation.Furthermore,an iterative algorithm is provided for searching the optimal S-estimation.It is shown that this method is robust and reliable by means of Monte Carlo simulation. |
| |
| Keywords: | B splines with S-estimation varying coefficient models iterative algorithm Monte Carlo simulation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
