Nonparametric estimation for some nonlinear models

被引：9
作者：
Thavaneswaran, A
Peiris, S
机构：
[1] UNIV MANITOBA,WINNIPEG,MB R3T 2N2,CANADA
[2] UNIV SYDNEY,SCH MATH & STAT,SYDNEY,NSW 2006,AUSTRALIA
来源：
STATISTICS & PROBABILITY LETTERS | 1996年 / 28卷 / 03期
关键词：
nonlinear; nonparametric; estimation; estimating function; autoregressive; random coefficient; kernel;
D O I：
10.1016/0167-7152(95)00128-X
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Godambe's (1985) theorem on optimal estimating equations for stochastic processes is applied to nonparametric estimation problems for nonlinear time-series models with time-varying parameter alpha(t). Examples are considered from the usual classes of nonlinear time-series models. The goal of this paper is to arrive at a nonparametric estimate <(theta)over cap>(0) of theta(0) = alpha(t(0)) for a fixed point t(0) is an element of [0, 1].
引用
收藏
页码：227 / 233
页数：7
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