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| 引用本文： | 房云,於州. �����������ľصľֲ����Թ���[J]. 应用概率统计, 2011, 27(1): 72-80 |
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| 作者姓名： | 房云 於州 |
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| 作者单位： | ????????????????????? |
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| 基金项目： | supported by National Social Science Foundation(08CTJ001) |
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| 摘 要： | 本文给出了条件三阶中心矩的局部线性估计,并研究了估计的条件偏差和方差.本文利用广义交叉核实法(GCV)进行窗宽选择.我们通过模拟说明了该估计的实用性
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| 关 键 词： | ???????? ??????? ????????????? ?????????? |
Local Linear Estimation of Conditional Third Central Moment |
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| FANG YUN,YU ZHOU. Local Linear Estimation of Conditional Third Central Moment[J]. Chinese Journal of Applied Probability and Statisties, 2011, 27(1): 72-80 |
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| Authors: | FANG YUN YU ZHOU |
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| Affiliation: | School of Finance and Statistics, East China Normal;University |
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| Abstract: | In this paper, we propose a local linearestimator for conditional third central moment. The asymptotic biasand variance are derived. General cross validation (GCV) isrecommended for bandwidth selection. A simple simulation study iscarried out to illustrate the usefulness of the proposed method.}newcommand{fundinfo}{This work was supported by NationalSocial Science Foundation (08CTJ001) |
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| Keywords: | Asymptotic properties bandwidth selection conditional third central moment local linear estimator |
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