一类非线性AR模型的拟极大似然估计

Quasi-Maximum-Likelihood Estimation for a Nonlinear Autoregressive Model

研究了具有GARCH误差的非线性的AR模型的拟极大似然估计.在一定条件下证明了拟极大似然估计的强相合性,其结果更具有一般性.最后将此结果应用到一类具有GARCH误差的线性AR模型上.

Quasi-maximum likelihood estimation in nonlinear autoregressive models with GARCH errors is considered.Strong consistency of quasi-maximum likelihood estimates are proved under some conditions.The result is more general.Finally the result is applied to linear autoregressive models with GARCH errors.