基于局部似然修正的可加模型的兩步估計(jì).pdf

1、山東大學(xué)碩士學(xué)位論文基于局部似然修正的可加模型的兩步估計(jì)姓名：溫敏申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：金融數(shù)學(xué)與金融工程指導(dǎo)教師：林路20070420山東大學(xué)碩士學(xué)位論文TowstageestimationforadditivemodelsbylocallikelihoodadjustmentWenMinSchoolofMath＆Sy8SciShandongUniversityJinan250100ABSTRACTInthispaper，thetw

2、ostageestimationfornonpaxametricadditivemodelsbylocallikelihoodadjustmenti$investigatedDi仟erentfromHorowitzandMammen’S(2004)twostageestimation，OUrfirststageestimatorsalredesignednotonlyfordimensionreductionbutalsoa8initi

3、alapproxiumtwnstoalltheadditivecomponents，thefirststageestimatorsusedparametrictechniqueandthesecondstageestimatorsareobtained坶usingonedimensionalnonparame乞rictechniquetefinethefirststageon∞，F(xiàn)romthisprocedurewecanreveala

4、relationshipbetweentheregressionfunctionspacesandconvergencerate，andthenprovideestimatorsthatareofopOmMityinthesensethatonedimensionalmeansquarederror(MSE)oftheO(n1)，wlfieh咖beachievedwhentheunderlyingmodelsareactuallysom

5、eparametricmodelsweaUknowinthe8臼啦thatonedimensionalnonparsmetricisD(n一看)Thi8showsthatOUrestimationprocedurej8goodincertain艇㈣FurthermorethemethodcanbereadilyeXtendedtohandleadditivemodelswithanysmoothknownlinks，althoughin

6、thispaperthelinkisidentiWSimulationstudiesshowthatOUrestimatorreallyhavesomegoodbehaviorTheSection2ofthispaper，introducethetwostageestimatorsconcretelyTheasymptoticbeha=l，ioroftheproposedestimatorsi8investigated，andgivet