In this article we study the empirical likelihood inference for AR（p） model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an emp...In this article we study the empirical likelihood inference for AR（p） model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an empirical log-likelihood ratio base on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotically standard chi-squared.展开更多
针对最小均方误差(Minimum Mean Square Error,MMSE)受控过程联合监控可控输入与过程输出这一问题,在任意阶自回归AR(p)平稳扰动模型下开发了一种通用的联合控制图,并将界内点排列非随机判异规则引入其中.同时,对AR(p)平稳扰动模型下生...针对最小均方误差(Minimum Mean Square Error,MMSE)受控过程联合监控可控输入与过程输出这一问题,在任意阶自回归AR(p)平稳扰动模型下开发了一种通用的联合控制图,并将界内点排列非随机判异规则引入其中.同时,对AR(p)平稳扰动模型下生产过程的MMSE控制器和输入与输出的平均链长(Average Run Length,ARL)进行了推导.最后,通过仿真实验验证了该联合控制图的有效性.展开更多
In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction...In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction. A similar method is also proposed for the case that the parameters are restricted by a simple order： α1≥α2≥…≥αq and β1≥β2≥…≥βp. The strong consistency of the above two estimators is discussed. Furthermore, we consider the problem of testing homogeneity of parameters against the simple order restriction. We give the likelihood ratio （LR） test statistic for the testing problem and derive its asymptotic null distribution.展开更多
文摘In this article we study the empirical likelihood inference for AR（p） model. We propose the moment restrictions, by which we get the empirical likelihood estimator of the model parametric, and we also propose an empirical log-likelihood ratio base on this estimator. Our result shows that the EL estimator is asymptotically normal, and the empirical log-likelihood ratio is proved to be asymptotically standard chi-squared.
文摘针对最小均方误差(Minimum Mean Square Error,MMSE)受控过程联合监控可控输入与过程输出这一问题,在任意阶自回归AR(p)平稳扰动模型下开发了一种通用的联合控制图,并将界内点排列非随机判异规则引入其中.同时,对AR(p)平稳扰动模型下生产过程的MMSE控制器和输入与输出的平均链长(Average Run Length,ARL)进行了推导.最后,通过仿真实验验证了该联合控制图的有效性.
文摘In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction. A similar method is also proposed for the case that the parameters are restricted by a simple order： α1≥α2≥…≥αq and β1≥β2≥…≥βp. The strong consistency of the above two estimators is discussed. Furthermore, we consider the problem of testing homogeneity of parameters against the simple order restriction. We give the likelihood ratio （LR） test statistic for the testing problem and derive its asymptotic null distribution.
