移动平均模型的经验欧氏似然推断  

Empirical Euclidean Likelihood Inference for Moving Average Models

作　　者：容健荣 RONG Jianrong(College of Mathematics and Statistics,Guangxi Normal University,Guilin 541004,China)

机构地区：[1]广西师范大学数学与统计学院,广西桂林541004

出　　处：《广西民族大学学报（自然科学版）》2021年第4期75-78,共4页Journal of Guangxi Minzu University ：Natural Science Edition

基　　金：广西研究生教育创新计划项目资助(YCSW2021073)。

摘　　要：研究了移动平均模型的经验欧氏似然推断问题。利用经验欧氏似然方法,通过鞅差序列处理移动平均模型估计方程中出现的二次型形式,构造出移动平均模型参数的经验欧氏似然比统计量,还证明了经验欧氏似然比统计量是渐近卡方分布。This paper studies the empirical Euclidean likelihood inference for moving average models.Via empirical Euclidean likelihood methods and by means of a martingale difference array,we deal with the linear⁃quadratic forms of the estimating equation of moving average models,construct the empirical Euclidean likelihood ratio statistics for the parameters in moving average model.It is shown that the empirical Euclidean likelihood ratio statistics are asymptotically chi⁃square distributed.

关 键 词：移动平均模型 鞅差序列 经验欧氏似然 

分 类 号：O212[理学—概率论与数理统计]