基于局部似然修正的可加模型的兩步估計.pdf

1、山東大學碩士學位論文基于局部似然修正的可加模型的兩步估計姓名：溫敏申請學位級別：碩士專業(yè)：金融數(shù)學與金融工程指導教師：林路20070420山東大學碩士學位論文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