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NGINAR(1)模型参数的拟似然估计

Quasi-Likelihood Estimation of Parameters in NGINAR( 1) Model
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摘要 利用拟似然法对Ristic提出的几何分布的整值自回归过程(NGINAR(1))的参数估计问题进行研究,得到了参数的修正拟似然估计因子及其极限分布,并做了数值实验,将拟似然估计与Yule-Walker估计及CLS估计进行比较。结果表明:拟似然估计在一定程度上优于Yule-Walker估计及CLS估计。 We used quasi-likelihood method to estimate the parameter of NGINAR （ 1 ） process, and obtained the modified-quasi-likelihood estimator of the model parameters and the asymptotic distribu- tion of this estimator. We compared the modified-quasi-likelihood estimator with the Yule-Walker estimator and the conditional least squares estimator via simulation. The results show that the modified- quasi-likelihood estimator is better than Yule-Walker estimator and the conditional least squares estimator.
作者 贺天宇 王金山
机构地区 陆军军官学院
出处 《重庆理工大学学报（自然科学）》 CAS 2015年第2期141-146,共6页 Journal of Chongqing University of Technology：Natural Science
基金 军内基金资助项目(jnky2012015 2014XYJJ-032)
关键词 整值时间序列 负二项稀疏算子 拟似然估计 渐近分布 integer-valued time series negative binomial thinning quasi-likelihood method asymptotic distribution
分类号 O212.7 [理学—概率论与数理统计]
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参考文献11

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二级参考文献9

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共引文献1

重庆理工大学学报（自然科学）
2015年 第2期

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