GRCA(1)模型中误差方差自加权估计的渐近分布  

Asymptotic distribution for the self-weighted estimation of the error variance in GRCA (1) models

作　　者：傅可昂[1] 丁丽 李婷 陈豪 何文凯 FU Keang;DING Li;LI Ting;CHEN Hao;HE Wenkai(School of Statistics and Mathematics,Zhejiang GongshangUniversity,Hangzhou 310018,China)

机构地区：[1]浙江工商大学统计与数学学院

出　　处：《浙江大学学报（理学版）》2019年第4期416-421,共6页Journal of Zhejiang University（Science Edition）

基　　金：浙江省自然科学基金资助项目(LY17A01004);教育部人文社科研究青年基金项目(17YJC910002);浙江省一流学科A类项目(浙江工商大学统计学);浙江工商大学研究生科研创新基金项目

摘　　要：考虑随机系数自回归模型yt=Φtyt-1+ut,其中Φt为随机系数,ut为随机误差。在允许Φt与ut相依以及Εu^4t无穷的条件下,构造了误差方差的自加权估计,并证明了该估计的渐近正态性。最后通过数值模拟,说明自加权估计的稳健和有效性。Consider the random coefficient autoregressive model yt =Φt yt - 1 + u t, in which the random coefficients are permitted to be correlated with the random errors. A robust self-weighted M-estimator of the error variance is proposed, and shown to be asymptotically normal with Eu^4t being possibly infinite. Some simulation studies are also given to show the good performance of the self-weighted estimator.

关 键 词：广义随机系数自回归 误差方差 自加权估计 渐近正态 

分 类 号：O212.1[理学—概率论与数理统计]