变系数模型的B样条S估计

变系数模型的B样条S估计 B Splines with S-Estimation for Varying Coefficient Models 解其昌 XIE Qichang1 1 first-author 赖绍永 LAI Shaoyong2 2 西南财经大学金融学院 西南财经大学金融学院 The School of Finance,Southwestern University of Finance and Economics The School of Finance,Southwestern University of Finance and Economics 西南财经大学经济数学学院 西南财经大学经济数学学院 The School of Economic Mathematics,Southwestern University of Finance and Economics The School of Economic Mathematics,Southwestern University of Finance and Economics 使用一个B样条S估计方法来研究变系数模型,得到了系数函数估计的简约表达式和一个基于S估计的广义交叉核实变量选择准则（GCV）,设计了一个迭代算法用来寻找最优的S估计.通过Monte Carlo实验证明,该方法是稳健可靠的. The B splines with S-estimation method is used for discussing the varying coefficient models.By employing this method,a simple estimation form of the coefficient functions is obtained and a generalized cross validation（GCV） criterion is derived for the S-estimation.Furthermore,an iterative algorithm is provided for searching the optimal S-estimation.It is shown that this method is robust and reliable by means of Monte Carlo simulation. B样条S估计 变系数模型 迭代算法 Monte Carlo模拟 B splines with S-estimation varying coefficient models iterative algorithm Monte Carlo simulation 10.14188/j.1671-8836.2011.02.009 O212.1 教育部重点项目（109140）;西南财经大学211三期特色项目（211DT03） 2011-02-01 2021-04-01 2 57