| Parameter Estimation for the NEAR（p） Model |
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| 引用本文： | 赵世舜,朱复康,王德辉.Parameter Estimation for the NEAR（p） Model[J].东北数学,2005,21(4):383-386. |
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| 作者姓名： | 赵世舜 朱复康 王德辉 |
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| 作者单位： | College of Mathematics Jilin University,Changchun,130012,College of Mathematics,Jilin University,Changchun,130012,College of Mathematics,Jilin University,Changchun,130012 |
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| 基金项目： | The NSPC (10471025)
the NSF of Fujian Province of China (F0210014 and Z0511019). |
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| 摘 要： | As to the acronym NEAR(p), it means "New Exponential Autoregressive Process of order p". The NEAR(p) model is denned by where α0,α1,α2… are non-negative and sum to unity, and the residual sequence{εt} is defined as where q1, q2, … , qp+1 are non-negative and sum to unity, and {Et} is an independent and identically distributed (i.i.d.) sequence of standard exponential variants. Chan showed necessary and sufficient conditions for the existence of a stationary and ergodic NEAR(p) model.
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| 关 键 词： | NEAR模型 参数估计 最小平方估计 准似然估计 |
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