Semiparametric estimation of a Box-Cox transformation model with varying coefficients model

doi:10.1007/s11425-016-0150-1

CORC > 上海财经大学 > 上海财经大学

	Semiparametric estimation of a Box-Cox transformation model with varying coefficients model
	Ji, YuanYuan 1; Wang, LiMing 2; Zhang, HangHui 1,3; Zhou, YaHong 1,3
刊名	SCIENCE CHINA-MATHEMATICS
	2017-05
卷号	60 期号:5 页码:897-922
关键词	varying-coefficient model Box-Cox transformation model conditional heteroscedasticity
ISSN号	1674-7283
DOI	10.1007/s11425-016-0150-1
英文摘要	This paper considers the estimation of a Box-Cox transformation model with varying coefficient. A two-step approach is proposed in which the first step estimates the varying cofficients nonparametrically for any given parameter alpha in the transformation function. Then a one-dimensional search of alpha has been employed based on some least absolute deviation criterion function. The validity of our estimator does not require independence assumption thus is robust to the conditional heteroscedasticity. A simulation study shows a reasonably well finite sample performance. Additionally, a comprehensive empirical study has been carefully examined.
WOS研究方向	Mathematics
语种	英语
出版者	SCIENCE PRESS
WOS记录号	WOS:000400086700008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/989]
专题	上海财经大学
通讯作者	Wang, LiMing
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 3.Minist Educ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Ji, YuanYuan,Wang, LiMing,Zhang, HangHui,et al. Semiparametric estimation of a Box-Cox transformation model with varying coefficients model[J]. SCIENCE CHINA-MATHEMATICS,2017,60(5):897-922.
APA	Ji, YuanYuan,Wang, LiMing,Zhang, HangHui,&Zhou, YaHong.(2017).Semiparametric estimation of a Box-Cox transformation model with varying coefficients model.SCIENCE CHINA-MATHEMATICS,60(5),897-922.
MLA	Ji, YuanYuan,et al."Semiparametric estimation of a Box-Cox transformation model with varying coefficients model".SCIENCE CHINA-MATHEMATICS 60.5(2017):897-922.