变系数模型的小波估计

变系数模型是近年来文献中经常出现的一种统计模型.本文主要研究了变系数模型的估计问题,提出运用小波的方法估计变系数模型中的系数函数,小波估计的优点是避免了象核估计、光滑样条等传统的变系数模型估计方法对系数函数光滑性的一些严格限制. 并且,我们还得到了小波估计的收敛速度和渐近正态性.模拟研究表明变系数模型的小波估计有很好的估计效果.

Wavelet Estimation in Varying-Coefficient Models

This paper is concerned with the estimationof varying-coefficient model that is frequently used in statisticalmodeling. The wavelet procedures are developed to estimate thecoefficient functions. The advantage of this approach is to avoidthe restrictive smoothness requirement for nonparametric function ofthe traditional smoothing approaches for varying-coefficient model,such as kernel and local polynomial methods. Furthermore, theconvergence rate of the wavelet estimators is derived and theasymptotic normality is established. Finite sample properties arestudied through Monte Carlo simulations.