期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

GRCA(1)模型中误差方差自加权估计的渐近分布

Asymptotic distribution for the self-weighted estimation of the error variance in GRCA (1) models
下载PDF
导出
摘要 考虑随机系数自回归模型yt=Φtyt-1+ut,其中Φt为随机系数,ut为随机误差。在允许Φt与ut相依以及Εu^4t无穷的条件下,构造了误差方差的自加权估计,并证明了该估计的渐近正态性。最后通过数值模拟,说明自加权估计的稳健和有效性。 Consider the random coefficient autoregressive model yt =Φt yt - 1 + u t, in which the random coefficients are permitted to be correlated with the random errors. A robust self-weighted M-estimator of the error variance is proposed, and shown to be asymptotically normal with Eu^4t being possibly infinite. Some simulation studies are also given to show the good performance of the self-weighted estimator.
作者 傅可昂 丁丽 李婷 陈豪 何文凯 FU Keang;DING Li;LI Ting;CHEN Hao;HE Wenkai(School of Statistics and Mathematics,Zhejiang GongshangUniversity,Hangzhou 310018,China)
机构地区 浙江工商大学统计与数学学院
出处 《浙江大学学报（理学版）》 CAS CSCD 北大核心 2019年第4期416-421,共6页 Journal of Zhejiang University（Science Edition）
基金 浙江省自然科学基金资助项目(LY17A01004) 教育部人文社科研究青年基金项目(17YJC910002) 浙江省一流学科A类项目(浙江工商大学统计学) 浙江工商大学研究生科研创新基金项目
关键词 广义随机系数自回归 误差方差 自加权估计 渐近正态 generalized random coefficient autoregression error variance self-weighted estimation asymptotic normality
分类号 O212.1 [理学—概率论与数理统计]
  • 相关文献

参考文献1

二级参考文献15

  • 1Nicholls D F, Quinn B G. Random Coefficient Autoregressive Models: An Introduction [M]. New York: Springer, 1982.
  • 2Tong H. A Note on a Markov Bilinear Stochastic Process in Discrete Time [J]. Journal of Time Series Analysis, 1981, 2(4): 279-284.
  • 3Feigin P D, Tweedie R L. Random Coefficient Autoregressive Processes: A Markov Chain Analysis of Stationarity and Finiteness of Moments [J]. Journal of Time Series Analysis, 1985, 6(1): 1-14.
  • 4Hwang S Y, Basawa I V. Asymptotic Optimal Inference for a Class of Nonlinear Time Series Models [J]. Stochastic Processes and Their Applications, 1993, 46(1) : 91-113.
  • 5Weiss A A. The Stability of the AR(1) Process with an AR(I) Coefficient [J]. Journal of Time Series Analysis, 1985, 6(3): 181-186.
  • 6Guyton D A, Zhang N F, Foutz R V. A Random Parameter Process for Modeling and Forecasting Time Series [J]. Journal of Time Series Analysis, 1986, 7(2): 105-115.
  • 7Leipus R, Surgailis D. Random Coefficient Autoregression, Regime Switching and Long Memory [J]. Advances in Applied Probability, 2003, 35(3) :737-754.
  • 8Distaso W. Testing for Unit Root Processes in Random Coefficient A.utoregressive Models[J]. Journal of Econometrics, 2008, 142(1)= 581-609.
  • 9ZHAO Zhi-wen, WANG De-hui, ZHANG Yong. Limit Theory for Random Coefficient First-Order Autoregres- sive Process under Martingale Difference Error Sequence [J]. Journal of Computational and Applied Mathematics, 2011, 235(8) : 2515-2522.
  • 10Vervaat W. On a Stochastic Difference Equation and a Representation of Non-negative Infinitely Divisible Random Variable[J]. Advances in Applied Probability, 1979, 11(4) :750-783.

共引文献1

浙江大学学报（理学版）
2019年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部