简单双线性时间序列模型参数的矩法估计及其渐近分布

Moment estimator of the parameter for the simple bilinear models and its asymptotic distribution

本文研究简单双线性时间序列模型ｘｔ＝ｅｔ＋ｂｅｔ－１ｘｔ－１，｜ｔ｜＝１，２…参数ｂ和σ２的矩估计问题，证明估计量的渐近正态性。

In this paper is considered the moment method of estimation for the parameters b and σ2 in the simple bilinear time series models {xt}xt = et + bet-1xt-1, t = 1,2,.. Where {et} is white noise, and the asymptotic normality is obtained for the moment estimators b and σ2.