时序模型参数的最优估计——几个定理及证明

Optimal Parameter Estimation of Nonlinear Time Series Models

本文在[1]和[2]的基础上,讨论非线性时间序列模型参数的最优估计问题,针对不同模型和不同算法,本文以[1]为依据证明了这些最优估计的强相容性和渐近正态性.

Based on [1] and [2], the problem of optimal parameter estimation of nonlinear time series models is discussed. Calculating methods suitable for different mod-els are given and the strongly consistenly and asymptotic normality of the optimal esti-mation is proved on the basis of [1].