Volume no :2, Issue no: 1, September (2009)

Journal of Statistics: Advances in Theory and Applications

ASYMPTOTIC NORMALITY OF WAVELET ESTIMATORS IN SEMIPARAMETRIC REGRESSION MODELS WITH MARTINGALE DIFFERENCE SEQUENCE ERRORS

Author's: Biwen Li, Hongchang Hu and Boshan Chen
Pages: [1] - [10]
Received Date: July 27, 2009
Submitted by:

Abstract

The paper studies a semiparametric regression model

where the error is a martingale difference sequence. The wavelet estimators of parameter and non-parameter are given and asymptotic normality is investigated under general conditions.

Keywords

semiparametric regression model, wavelet estimate, martingale difference sequence, asymptotic normality.