Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors

作者：Hu, Hong-chang^*; Cui, Heng-jian; Li, Kai-can

来源：Acta Mathematicae Applicatae Sinica-English Series, 2018, 34(1): 77-96.

DOI：10.1007/s10255-018-0730-5

• partially linear errors-in-variables model
• nonlinear long dependent time series
• wavelet estimation
• asymptotic representation
• asymptotic distribution
• weak convergence rates

While the random errors are a function of Gaussian random variables that are stationary and long dependent, we investigate a partially linear errors-in-variables (EV) model by the wavelet method. Under general conditions, we obtain asymptotic representation of the parametric estimator, and asymptotic distributions and weak convergence rates of the parametric and nonparametric estimators. At last, the validity of the wavelet method is illuminated by a simulation example and a real example.

• 出版日期2018-1
• 单位湖北师范大学; 首都师范大学