函数系数自回归模型推广形式的Back-Fitting估计

Back-fitting procedure for extensive functional coefficient autoregressive models

文章针对时间序列中函数系数自回归模型给出其推广形式,借助向后拟合的思想介绍推广形式中函数系数部分和参数部分的估计,该方法可以得到模型中的常值系数估计量的精确表达式;并通过一个数值模拟表明所提出的估计方法具有可行性和稳定性。

This paper gives the extensive model of the functional coefficient autoregressive model in the time series. A novel procedure for fitting the extensive model is proposed, by which an explicit expression for estimators of the constant coefficient in the model can be obtained. Finally, extensive simulations are conducted to examine the performance of the proposed fitting procedure and the feasibility and stability of the proposed method are proved.