具有Laplace边际分布的二元自回归模型的统计推断  

Statistical Inference of Bivariate Autoregressive Model with Laplace Marginal Distribution

作　　者：陈晋[1,2] 王德辉 CHEN Jin;WANG Dehui(Department of Foundation,The City College of Jilin Jianzhu University,Changchun 130114,China;College of Mathematics,Jilin University,Changchun 130012,China)

机构地区：[1]吉林建筑大学城建学院基础科学部,长春130114 [2]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2018年第6期1419-1422,共4页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11571051);吉林省科技发展计划项目(批准号:20180101216JC)

摘　　要：考虑具有Laplace边际分布的二元一阶自回归时间序列模型,给出该模型的性质及参数的条件最小二乘估计,并讨论估计量的相合性和渐近正态性.最后给出数值模拟和实例分析.We considered a bivariate first-order autoregressive time series model with Laplace marginal distribution,gave the properties of themodel and conditional least squares estimation of parameters,and discussed theconsistency and asymptotic normality of estimators.Finally,numerical simulation and example analysis were given.

关 键 词：二元自回归模型 BEAR(1)模型 NLAR(2)模型 条件最小二乘估计 

分 类 号：O212.1[理学—概率论与数理统计]