时间数列回归模型参数的广义MM估计

General MM-Estimation for Time Series Regression Model

为有效地控制观测值中异常数据的影响，在文献［１］的基础上，给出了时间数列回归模型参数的广义ＭＭ估计，并在一定条件下证明了估计的相容性．

Tocontrol the influence of unusual data upon the oberved values,we propose a general MM-estimation for the time series regression model. The consistency of the estimator is proved under certain conditions.