| 误差为ARMA(1,1)的非线性回归模型相关性和异方差的检验 |
| |
| 引用本文： | 刘应安,韦博成,林金官.误差为ARMA(1,1)的非线性回归模型相关性和异方差的检验[J].东南大学学报(自然科学版),2001,31(6):98-102. |
| |
| 作者姓名： | 刘应安 韦博成 林金官 |
| |
| 作者单位： | 东南大学应用数学系,南京,210096 |
| |
| 基金项目： | 国家自然科学基金资助项目 ( 196 310 40 )，江苏省自然科学基金资助项目 (BK990 0 2 ) |
| |
| 摘 要： | 本文讨论了误差为ARMA（1，1）序列的非线性回归模型。首先得到随机误差相关性和异方差性检验的似然比检验统计量和Score检验统计量；其次利用参数正交变换，得到了修正的似然比检验统计量和修正的Score检验统计量，推广了韦博成、胡跃清（1994）的结果和韦博成（1995）的结果；最后给出了几种特殊情形的似然比检验统计计量和Score检验统计量。
|
| 关 键 词： | 非线性回归模型 相关性 异方差性 似然比检验 Score检验 ARMA（1 1） |
| 文章编号： | 1001-0505(2001)06-0098-05 |
Tests of Auto-Correlation and Heteroscedasticity of the Nonlinear Regression Models with an ARMA(1,1) Sequence Random Error |
| |
| Liu Yingan,Wei Bocheng,Lin Jinguan.Tests of Auto-Correlation and Heteroscedasticity of the Nonlinear Regression Models with an ARMA(1,1) Sequence Random Error[J].Journal of Southeast University(Natural Science Edition),2001,31(6):98-102. |
| |
| Authors: | Liu Yingan Wei Bocheng Lin Jinguan |
| |
| Abstract: | The likelihood ratio test and Score test are proposed to test the autocorrelation and heteroscedasticity of the ARMA(1,1) sequence random errors in nonlinear regression models. Based on the parameter orthogonality transformation, both the modified likelihood ratio test and the modified Score test are derived. The results are an extension of the works of Wei and Hu(1994) and Wei(1995). The paper also discusses the tests of autocorrelation and heteroscedasticity in some special models. |
| |
| Keywords: | nonlinear regression model auto correlation heteroscedasticity the modified likelihood test the modified Score test |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
