变系数模型的稳健估计
Robust Estimation for Varying Coefficient Model
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摘要: 为了研究变系数模型的稳健估计问题,结合B-样条方法和taut string方法得到了一个稳健估计过程;结合局部二次逼近方法,给出了一个迭代算法.数据模拟结果表明所得估计是稳健的.Abstract: This paper considers robust estimation of varying coefficient models with emphasis on resistance against outliers.By combining B-splines method with taut string method,a robust estimation procedure is proposed.Based on local quadratic approximation,an iterative algorithm is introduced.Simulation study indicates that the proposed method is robust.