广义离散型指数族ARMA模型的参数估计及其Bootstrap置信区间

Parameters Estimation and Bootstrap Confidence Intervals of Generalized Discrete Exponential Family ARMA Models

针对广义离散型指数族ARMA模型,采用Scoring算法对模型进行参数估计,并得到Scoring算法中方向向量的计算公式;再运用分块移动Bootstrap构造参数的置信区间,这种方法更加实用,收敛速度快,并在模拟数据和真实数据部分都得到令人满意的结果.

The objective of this paper is to estimate the parameters of generalized discrete exponential family ARMA models and construct the confidence intervals of the parameters. This paper use Scoring algorithm to estimate the parameters and gain the formula of direction vectors in the algorithm. Further more,the method of Moving Blocks Bootstrap gives satisfied results for both simulative and true data.