Time-varying coefficient estimation in differential equation models with noisy time-varying covariates

JOURNAL OF MULTIVARIATE ANALYSIS

卷:103

Article

Hong, Zhaoping¹  Lian, Heng¹ 

[1] Nanyang Technol Univ, Div Math Sci, Sch Phys & Math Sci, Singapore 637371, Singapore

关键词: Differential equation;    Local polynomial regression;    Measurement error;    Varying coefficient models;   

DOI  :  10.1016/j.jmva.2011.06.007

来源: Elsevier

【 摘 要 】

We study the problem of estimating time-varying coefficients in ordinary differential equations. Current theory only applies to the case when the associated state variables are observed without measurement errors as presented in Chen and Wu (2008) [4,5]. The difficulty arises from the quadratic functional of observations that one needs to deal with instead of the linear functional that appears when state variables contain no measurement errors. We derive the asymptotic bias and variance for the previously proposed two-step estimators using quadratic regression functional theory. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free