基于异方差的自回归预测模型的参数估计及其应用

Paramater Estimation and Application Based on Autoregressive Heteroskedasticity Forcast Model

从齐性方差的线性回归模型参数估计的最小二乘法出发,通过对统计资料的适当变换,利用加权最小二乘法,获得了异方差的线性自回归模型和四种异方差的非线性自回归模型的参数估计公式,并举例阐述了估计公式的应用.

This paper firstly introduces the least quadratic method of homogeneity of variance about line-regressive paramater estiation model, then studies transformation through the past statistic data. utilizing the least quadratic method, formulation of paramater estimation is aquired about heteroskedasticity line-autoregressive model and four types of heteroskedasticity none line-autoregressive models, finally, application is gived by some examples.