Acta mathematica scientia,Series A ›› 2010, Vol. 30 ›› Issue (4): 984-999.

• Articles • Previous Articles     Next Articles

Local Polynomial Estimator of the Regression Function in Autoregressive Models with Errors in Variables

 YU Zhuo-Xi1,2, WANG De-Hui1, SHI Ning-Zhong3   

  1. 1.College of Mathematics, Jilin University, Changchun 130012;
    2.Department of Applied Mathematics, Changchun Taxation College, Changchun 130117;
    3.Northeast Normal University, Changchun 130021
  • Received:2007-12-28 Revised:2009-11-20 Online:2010-07-25 Published:2010-07-25
  • Supported by:

    :国家自然科学基金(10971081, J0630104)、新世纪优秀人才支持计划(NCET-08-237)、高等学校博士学科点专项基金(20070183023)、吉林大学基本科研业务费(200810024)、吉林省教育厅``十一五''科学技术研究项目(2009514)和
    长春税务学院科学研究项目(2008016)资助

Abstract:

In this paper, the authors study the problem of  nonparametric estimation of the autoregression function in autoregressive models with errors-in-variables. With the application of the deconvolution kernel,  the local polynomial estimator of the autoregression function is given. Under some specific conditions, the properties of consistency and asymptotic normality of the estimator can be obtained here. The performance of the method is studied by some simulation experiments.

Key words: Autoregressive models with errors-in-variables, Deconvolution kernel, Local polynomial estimator

CLC Number: 

  • 62M10
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