具有Laplace边际分布的二元自回归模型的统计推断

Statistical Inference of Bivariate Autoregressive Model with Laplace Marginal Distribution

考虑具有Laplace边际分布的二元一阶自回归时间序列模型,给出该模型的性质及参数的条件最小二乘估计,并讨论估计量的相合性和渐近正态性.最后给出数值模拟和实例分析.

We considered a bivariate first-order autoregressive time series model with Laplace marginal distribution,gave the properties of themodel and conditional least squares estimation of parameters,and discussed theconsistency and asymptotic normality of estimators.Finally,numerical simulation and example analysis were given.