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Partial Functional Linear Models with ARCH Errors

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Document pages: 17 pages

Abstract: In this paper, the estimation of the parameters in partial functionallinear models with ARCH(p) errors is discussed. With employing the functionalprinciple component, a hybrid estimating method is suggested. The asymptoticnormality of the proposed estimators for both the linear parameter in the meanmodel and the parameter in the ARCH error model is obtained, and theconvergence rate of the slope function estimate is established. Besides, some simulations and a real data analysis are conductedfor illustration, and it is shown that the proposed method performs well with afinite sample.

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