| PARMA模型参数最小绝对偏差(LAD)估计量的极限分布 |
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| 引用本文： | 韩苗,周圣武.PARMA模型参数最小绝对偏差(LAD)估计量的极限分布[J].纯粹数学与应用数学,2010,26(6):931-940. |
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| 作者姓名： | 韩苗 周圣武 |
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| 作者单位： | 中国矿业大学理学院,江苏徐州,221116;中国矿业大学理学院,江苏徐州,221116 |
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| 摘 要： | 在最优化理论基础上,采用相对较稳健的最小绝对偏差（LAD）估计方法,首先研究了周期自回归滑动平均（PARMA）模型参数估计问题,得到了PARMA模型LAD估计量的渐近分布.其次对该模型的LAD估计作了进一步的讨论,给出更一般假设条件下模型参数LAD估计量的渐近性质。
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| 关 键 词： | 周期自回归滑动平均模型 LAD估计量 极限分布 |
Limiting behavior of least absolute deviation (LAD) estimators for PARMA models |
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| HAN Miao,ZHOU Sheng-wu.Limiting behavior of least absolute deviation (LAD) estimators for PARMA models[J].Pure and Applied Mathematics,2010,26(6):931-940. |
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| Authors: | HAN Miao ZHOU Sheng-wu |
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| Institution: | HAN Miao,ZHOU Sheng-wu(College of Science,China University of Mining and Technology,Xuzhou 221116,China) |
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| Abstract: | On the basis of optimization theory,the least absolute deviation(LAD) estimates which are superior to some other estimates are adopted to study the parameters estimate for PARMA models.And the asymptotic normality of the LAD estimators for PARMA model is derived,then the results under more general conditions are shown. |
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| Keywords: | periodic autoregressive moving-average models LAD estimators limiting behavior |
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