ARMA序列参数改进矩估计的强相合性  

The Strong Consistency of Modifled Moment Method of Estimate of the Parameters of the ARMA Sequence

作　　者：潘晋孝[1] 刘维奇[2] 

机构地区：[1]太原机械学院 [2]山西大学

出　　处：《工程数学学报》1992年第2期23-30,共8页Chinese Journal of Engineering Mathematics

摘　　要：文献[1]给出了ARMA序列自回归参数的一种改进的矩估计方法,并证明了估计的渐近正态性。本文证明了这种估计的强相合性,并讨论了其优效渐近正态性。A modified moment method of estimate of the autoregressive paraneters of the ARMA sequence is given in (1), and the asymptotic normality of the esquence is proved. In this paper, we prove the strong consistency of the estimate, its efficiency asymptotic normality is discussed, too.

关 键 词：ARMA序列 自回归参数 矩估计 

分 类 号：O211.67[理学—概率论与数理统计]