条件矩约束下一阶自回归模型的参数经验似然推断  

Parameter Empirical Likelihood Inference of One-order Autoregressive Model Under Conditional Moment Restrictions

作　　者：彭毳鑫[1] 胡敏 赵志文[2] Peng Cuixina;Hu Mina;Zhao Zhiwenh(Public Foreign Languages Department;Col!ege of Mathematics,Jilin Normal University,Siping Jilin 136000,China)

机构地区：[1]吉林师范大学大学外语部,吉林四平136000 [2]吉林师范大学数学学院,吉林四平136000

出　　处：《统计与决策》2018年第21期33-37,共5页Statistics & Decision

基　　金：国家自然科学基金资助项目(11571138);国家社会科学基金资助项目(16BTJ020)

摘　　要：文章讨论条件矩约束下自回归模型参数的估计问题。利用经验似然方法,给出了条件矩约束下自回归模型参数的估计,证明了估计量的极限分布为正态分布。在此基础上,通过随机模拟研究说明所给出的方法具有可行性。This paper discusses the parameter estimate of the autoregressive model under conditional moment restrictions, and uses the empirical likelihood method to give the parameter estimation of the autoregressive model under the conditional mo- ment restrictions, thus proving that the limit distribution of estimator is normal distribution. On this basis, the feasibility of the pro- posed method is demonstrated through the study of stochastic simulation.

关 键 词：自回归模型 经验似然 正态分布 条件矩 

分 类 号：O212[理学—概率论与数理统计]