多维门限自回归模型系数估计的渐近正态性

ASYMPTOTIC NORMALITY OF COEFFICIENT ESTIMATE FOR MULTIDEMENSIONAL THRESHOLD AUTOREGRESSION MODEL

对多维门限自回归模型在给定阶数、门限及延迟参数的假定下，［２］给出了自回归系数矩阵最小二乘估计的强相容性．

For multidemensional threshold autoregression model,a paper by Li Xinyuan and Deng Jixian has,on the supposition that module,threshold and lingering parameter are given,provided the strong compatibility of the least square estimate of autoregression coefficient matrix .This paper obtains the asymptotic normality of this estimate.