Parameter Estimation of Varying Coefficients Structural EV Model with Time Series

被引：1

作者：

Yan Yun SU ^{[1
]}

Heng Jian CUI ^{[2
]}

Kai Can LI ^{[1
]}

机构：

[1] School of Mathematics and Statistics,Hubei Normal University

[2] School of Mathematical Sciences,Capital Normal

来源：

Acta Mathematica Sinica | 2017年 / 33卷 / 05期

关键词：

D O I：

暂无

中图分类号：

O212 [数理统计];

学科分类号：

摘要：

In this paper, the parameters of a p-dimensional linear structural EV(error-in-variable)model are estimated when the coefficients vary with a real variable and the model error is time series.The adjust weighted least squares(AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.

引用

页码：607 / 619

页数：13

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