非线性联合均值方差模型的统计分析

Statistical Analysis for Nonlinear Joint Mean and Variance Models

在提出非线性均值方差模型的基础上,研究了该模型中未知参数的估计问题。主要是基于Gauss-Newton迭代算法给出该模型中未知参数的极大似然估计。通过大量随机模拟实验验证了所提出方法的有效性。最后,结合实际问题数据验证了该模型与方法具有实用性和可行性。

We propose nonlinear joint mean and variance models in this paper and investigate the estimate for unknown parameters in the model based on Gauss-Newton iterative algorithm. Furthermore, we make some simulations to show that the proposed procedure works satisfactorily. Lastly, two real examples are presented to illustrate the proposed methodology.