| 具有自回归误差的变系数模型的变量选择 |
| |
| 引用本文： | 郑圣超.具有自回归误差的变系数模型的变量选择[J].嘉兴学院学报,2012,24(3):38-41. |
| |
| 作者姓名： | 郑圣超 |
| |
| 作者单位： | 嘉兴学院数理与信息工程学院,浙江嘉兴,314001 |
| |
| 摘 要： | 基于局部线性估计方法研究误差具有自回归结构的变系数回归模型,讨论利用估计的残差和LASSO方法对误差部分进行定阶和估计的统计推断问题.通过蒙特卡洛模拟方法对比研究,揭示具有良好性质的局部多项式估计方法的有效性.
|
| 关 键 词： | 变系数模型 局部多项式估计 自回归误差 蒙特卡洛模拟 LASSO算子 |
Variable Selection for Varying-coefficient Model with Autoregressive Error |
| |
| ZHENG Sheng-chao.Variable Selection for Varying-coefficient Model with Autoregressive Error[J].Journal of Jiaxing College,2012,24(3):38-41. |
| |
| Authors: | ZHENG Sheng-chao |
| |
| Institution: | ZHENG Sheng-chao(School of Mathematics,Physics and Information Engineering,Jiaxing University,Jiaxing,Zhejiang 314001) |
| |
| Abstract: | The local linear regression technique is applied to estimate parameters for varying-coefficient regression model with autoregressive error.This paper discusses how to use the estimated residuals and the LASSO method to determine both the order of the error and estimator of unknown parameters.Finally,Monte Carlo simulation and comparative study show that the proposed method is effective. |
| |
| Keywords: | varying-coefficient local linear estimation AR error Monte Carlo simulation LASSO operator |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
