AR（p）序列部分和分布的随机加权逼近

The Random Weighting Approximation to the Partial Sum of AR(p) Series

对于自回归系数未知的ＡＲ（ｐ）序列，本文构造了适当的随机加权统计量，以其条件分布逼近ＡＲ（ｐ）序列的部分和分布，在相当一般的条件下，证明了其逼近精度可达，其中ｎ为样本容量。

Abstract For the AR(p) model with unknown autoregressive coefficients,we construet the proper random weighting statistice and use its conditional distribution to approximate the distribution of partial sum of AR(p)series.Under the mild conditions,We Prove that the accuracy is