| GRCA(1)模型中误差方差自加权估计的渐近分布 |
| |
| 引用本文： | 傅可昂,丁丽,李婷,陈豪,何文凯.GRCA(1)模型中误差方差自加权估计的渐近分布[J].浙江大学学报(理学版),2019,46(4):416-421. |
| |
| 作者姓名： | 傅可昂 丁丽 李婷 陈豪 何文凯 |
| |
| 作者单位： | 浙江工商大学 统计与数学学院，浙江 杭州 310018 |
| |
| 基金项目： | 浙江省自然科学基金资助项目(LY17A01004)；教育部人文社科研究青年基金项目(17YJC910002)；浙江省一流学科A类项目(浙江工商大学统计学)；浙江工商大学研究生科研创新基金项目. |
| |
| 摘 要： | 考虑随机系数自回归模型Yt =Φtyt-1+ ut，其中 Φt为随机系数，ut为随机误差。在允许Φt与ut相依以及Eut无穷的条件下，构造了误差方差的自加权估计，并证明了该估计的渐近正态性。最后通过数值模拟，说明
自加权估计的稳健和有效性。
|
| 关 键 词： | 广义随机系数自回归 误差方差 自加权估计 渐近正态 |
| 收稿时间： | 2018-07-10 |
Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models |
| |
| FU Keang,DING Li,LI Ting,CHEN Hao,HE Wenkai.Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models[J].Journal of Zhejiang University(Sciences Edition),2019,46(4):416-421. |
| |
| Authors: | FU Keang DING Li LI Ting CHEN Hao HE Wenkai |
| |
| Institution: | School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China |
| |
| Abstract: | Consider the random coefficient autoregressive model Yt =Φtyt-1+ ut, in which the random coefficients are permitted to be correlated with the random errors. A robust self-weighted M-estimator of the error variance is proposed, and shown to be asymptotically normal with Eut4 being possibly infinite. Some simulation studies are also given to show the good performance of the self-weighted estimator. |
| |
| Keywords: | generalized random coefficient autoregression error variance self-weighted estimation asymptotic normality |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《浙江大学学报(理学版)》浏览原始摘要信息 |
| 点击此处可从《浙江大学学报(理学版)》下载免费的PDF全文 |
