摘要
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.
出处
《北京理工大学学报》
EI
CAS
CSCD
1999年第2期136-142,共7页
Transactions of Beijing Institute of Technology
关键词
双线性时间序列
矩估计
极限分布
时间序列模型
bilinear time series model
moment estimation
large scale sample
limit distribution