ARMA模型参数的长自回归估计及其渐近性质

给定样本 X(1),…,X(T),Wang and Chen 用长自回归方法给出了 p,q 的定阶方法,本文将在 p,q 已知的前提下,给出ψ(?)(φ_1,…,φ_p,θ_1,…,θ_q)~τ的长自回归估计.正整数 p_T相似文献   

IDENTIFICATION AND HYPOTHESIS TESTING ON ARIMA (p, d, q) MODELS

This paper eonsiders an ARIMA (p, d, q) medel. A method for estimating the order d and testingthe hypothesis: d=d_0 is given. The asymptotic properties of the estimator have been discussed.     

TWO LIMIT THEOREMS ON ARIMA MODELS

Let the time series {X(t),t=1,2,…}satisfy φ(B)(1-B)~dX(t)=θ(B)e(t),where B is a backward shift operator,defined by BX(t)=X(t-1),and φ(z)=1+φz+…+φ_pz~p,θ(z)=1+θ_1z+…+θ_qz~q%,and all the roots of φ(z)lie outside the unit circle;{e(t)}is a sequence of iid random variables with mean zero and E|e(t)|~(4+r)<∞(r>0).In this paper,the limit properties of S_n=sum from t=1 X(t)~2/t~(2d)log n,where the integer d≥1,have been considered.