二阶部分线性自回归模型的稳健估计

Robust Estimation of Two Order Partially Linear Autoregressive Model

本文将稳健估计程序思想运用到二阶部分线性自回归模型中,得到了未知参数β和非参数函数g(·)的稳健估计.在一定的条件下,证明了未知参数和非参数函数估计的相合性.并通过时间序列的数据模拟验证相合性结果.

In this paper, by applying the robust estimation procedure to two order partially linear autoregres-sive model, the robust estimators of unknown parameteric β and nonparametric function g（·） were obtained. And the consistency of unknown parametric and nonparametric function estimators under certain conditions was con-firmed. Time series simulation was employed to verify the consistency results.