Parameter Estimation of Varying Coefficients Structural EV Model with Time Series

被引：1
|
作者：
Yan Yun SU [1 ]
Heng Jian CUI [2 ]
Kai Can LI [1 ]
机构：
[1] School of Mathematics and Statistics,Hubei Normal University
[2] School of Mathematical Sciences,Capital Normal
来源：
Acta Mathematica Sinica | 2017年 / 33卷 / 05期
关键词：
D O I：
暂无
中图分类号：
O212 [数理统计];
学科分类号：
摘要：
In this paper, the parameters of a p-dimensional linear structural EV(error-in-variable)model are estimated when the coefficients vary with a real variable and the model error is time series.The adjust weighted least squares(AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance.
引用
收藏
页码：607 / 619
页数：13
相关论文
共 50 条
  • [41] DUAL-MODE CONTROL OF A TIME-VARYING BOILER MODEL WITH PARAMETER AND STATE ESTIMATION
    NICHOLSON, H
    PROCEEDINGS OF THE INSTITUTION OF ELECTRICAL ENGINEERS-LONDON, 1965, 112 (02): : 383 - +
  • [42] Recursive Tracking Algorithm for a Predictable Time-Varying Parameter of a Time Series
    Belitser, E.
    Serra, P.
    MATHEMATICAL METHODS OF STATISTICS, 2015, 24 (04) : 243 - 265
  • [43] A spatial autoregression model with time-varying coefficients
    Xu, Ke
    Sun, Luping
    Liu, Jin
    Zhu, Xuening
    Wang, Hansheng
    STATISTICS AND ITS INTERFACE, 2020, 13 (02) : 261 - 270
  • [44] Parameter set estimation algorithms for time-varying systems
    Watkins, J
    Yurkovich, S
    INTERNATIONAL JOURNAL OF CONTROL, 1997, 66 (05) : 711 - 731
  • [45] On the cox model with time-varying regression coefficients
    Tian, L
    Zucker, D
    Wei, LJ
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2005, 100 (469) : 172 - 183
  • [46] Parameter Estimation for a Sinusoidal Signal with a Time-Varying Amplitude
    Li, Peng
    Chen, Boli
    2022 EUROPEAN CONTROL CONFERENCE (ECC), 2022, : 1708 - 1713
  • [47] An Alternative Estimation Method for Time-Varying Parameter Models
    Ito, Mikio
    Noda, Akihiko
    Wada, Tatsuma
    ECONOMETRICS, 2022, 10 (02)
  • [48] Time-varying parameter estimation with application to trajectory tracking
    Bousson, K.
    AIRCRAFT ENGINEERING AND AEROSPACE TECHNOLOGY, 2007, 79 (04): : 406 - 413
  • [49] On estimation and inference in a partially linear hazard model with varying coefficients
    Yunbei Ma
    Alan T. K. Wan
    Xuerong Chen
    Yong Zhou
    Annals of the Institute of Statistical Mathematics, 2014, 66 : 931 - 960
  • [50] Consistent estimation of the memory parameter for nonlinear time series
    Dalla, V
    Giraitis, L
    Hidalgo, J
    JOURNAL OF TIME SERIES ANALYSIS, 2006, 27 (02) : 211 - 251
12345