Box-Cox变换模型模拟矩估计方法研究

A METHOD OF SIMULATED MOMENT ESTIMATION TO BOX-COX TRANSFORMATION MODEL

基于对Ｂｏｘ－Ｃｏｘ变换模型参数估计方法的研究，分析了极大似然方法之不足，提出了相应参数估计方法——基于残差的广义模拟矩估计方法，并研制了相应的算法．该方法同时解决了Ｂｏｘ－Ｃｏｘ变换模型出现序列相关与异方差时的参数估计问题，力求反映真实模型．

On the basis of research on parameter estimation method of Box Cox transformation model, drawbacks of MLE is analyzed and a method of parameter estimation to Box Cox transformation model is proposed in this paper,which is a generalized method of simulated moment based on residuals.Moreover,corresponding algorithm to this approach is investigated. Meanwhile,problem of estimation to Box Cox model with serial correlation and heteroscedasticity is solved.Practical examples show its efficiency and concluding remarks are also given.