缺失数据下区间自回归模型的参数估计

Parameter estimation of interval auto-regressive model with missing data

研究了当数据存在缺失时区间值自回归模型的参数估计问题.利用均值补充法、条件均值补充法对缺失数据进行补充,在此基础上进一步利用条件最小二乘估计方法对模型参数进行了估计,并通过随机模拟说明了上述估计方法的合理性.

The parameter estimation problem of interval value autoregressive model with missing data was studied.The missing data were supplemented by using mean supplement method and conditional mean supplement method.Moreover, the conditional least squares estimation method was used to estimate the model parameters, and the rationality of the above estimation method was demonstrated by random simulation.