一类双线性时间序列模型的矩估计

The Moment Estimation of One Class of Bilinear Time Series Model

目的研究一类对角双线性模型ｘｔ＋∑ｐｉ＝１ａｉｘｔ－ｉ＝ｅｔ＋∑ｑｊ＝１ｂｊｅｔ－ｊｘｔ－ｊ的矩估计方法，着重分析一阶模型ｘｔ＝ｅｔ＋ｂｅｔ－１ｘｔ－１的高阶矩估计及其大样本性质．方法计算模型的矩，理论证明时运用中心极限定理，采用计算机仿真方法验证模型参数．结果与结论获得一阶模型的高阶矩估计和一般模型的低阶矩估计，并给出仿真结果和说明。

Aim To discuss the moment methods in the estimation of specific diag onal time series model x t+∑pi=1a ix t-i =e t+∑qj=1b je t-j x t-j ,t=0,1,2,…, focusing on the moment estimation and large sampling features of one order model x t=e t+ be t-1 x t-1 . Methods Moment computation, limit center theory and computer sim ulation were applied. Results Acquiring the moment methods of two models here inbefore.