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误差为AR(1)情形的半参数回归模型拟极大似然估计的存在性 被引量：4

Existence of quasi-maximum likelihood estimators in a semiparametric regression model with AR(1) time series errors
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摘要 在误差为AR(1)时间序列的情形下,给出了半参数回归模型的拟极大似然估计方程,并研究了拟极大似然估计量的存在性。 When errors is a AR（ 1 ） time series ,we studied the quasi -likelihood equation for the semiparametric model, and investigated the existence of quasi - maximum likelihood estimators.
作者 胡宏昌
机构地区 湖北师范学院数学系
出处 《湖北师范学院学报（自然科学版）》 2006年第3期12-16,共5页 Journal of Hubei Normal University(Natural Science)
基金 湖北省教育厅科学技术研究项目(Q200622001) 湖北省科技创新团队资助项目 国家自然科学基金资助项目(40274005)
关键词 半参数回归模型 AR(1)时间序列 拟极大似然估计量 存在性 semiparametric regression model AR（ 1 ） time series quasi- maximum likelihood estimator existence
分类号 O212.1 [理学—概率论与数理统计]
  • 相关文献

参考文献12

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二级参考文献21

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共引文献25

同被引文献24

  • 1胡宏昌.半参数回归模型的泛补偿最小二乘估计[J].工程数学学报,2005,22(3):487-492. 被引量：6
  • 2曾林蕊,朱仲义.半参数广义线性模型的局部影响分析[J].华东师范大学学报（自然科学版）,2005(4):18-25. 被引量：4
  • 3胡舒合.FIXED-DESIGN SEMIPARAMETRIC REGRESSION FOR LINEAR TIME SERIES[J].Acta Mathematica Scientia,2006,26(1):74-82. 被引量：8
  • 4Hu Hongchang. Ridge estimation of a semiparametric regression model[J]. J Computational and Applied Mathematics, 2005, 176:215-222
  • 5Brockwell P J, Davis R A. Time Series: Theory and Methods[M]. New York: Spinger-Verlag, 1987
  • 6Hamilton J D. Time Series Analysis[M]. New Jersey: Princeton University Press, 1994
  • 7Box G E P, Jenkins G M, Reinsel G C. Time Series Analysis: Forecasting and Control (3rd Edition)[M]. Beijing: Posts & Telecom Press, 2005
  • 8Engle R F, Granger W J, Rice J, Weiss A. Semiparametric estimates of the relation between weather and electricity sales[J]. Journal of the American Statistical Association, 1986, 80:310-319
  • 9You Jinhong, Chen Gemai. Semiparametric generalized least squares estimation in partially linear regression models with correlated error[J]. Journal of Statistical Planning and Inferemce, 2007, 137(1): 117-132
  • 10Anton Schick. Efficient estimation in a semiparametric additive regression model with autorgressive errors[J]. Stochastic Processes and Their Applications, 1996, 61:339-361

引证文献4

二级引证文献2

湖北师范学院学报（自然科学版）
2006年 第3期

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