近爆炸性自回归序列中参数估计量的渐近性质
Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process
DOI: 10.12677/PM.2014.46038, PDF, HTML, XML, 下载: 2,467  浏览: 4,327 
作者: 于明明, 孟 娇：南京航空航天大学，南京
关键词: 自回归序列；最小二乘法估计量；近爆炸；Autoregressive Process； Least Squares Estimator； Near-Explosive
摘要: 本论文的目的是研究近爆炸性自回归序列中, 当，时参数最小二乘估计量的渐近分布。
Abstract: In this paper, we focus our attention on the following near-explosive autoregressive process: . When and in the near-explosive case, the asymptotic dis-tributions for the least squares estimator of can be obtained.
文章引用：于明明, 孟娇. 近爆炸性自回归序列中参数估计量的渐近性质[J]. 理论数学, 2014, 4(6): 261-267. http://dx.doi.org/10.12677/PM.2014.46038

参考文献

[1] Anderson, T.W. (1959) On asymptotic distributions of estimators of parameters of stochastic difference equations. Annals of Mathematical Statistics, 32, 676-687.
[2] Zhou, Z.Z. and Lin, Z.Y. (1958) Asymptotic theory for LAD es-timation of moderate deviations from a unit root. Statistics and Probability Letters, 29, 1188-1197.
[3] Bercu, B. and Proia, F. (2013) A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autore-gressive process. ESAIM: Probability and Statistics, 17, 500-530.
[4] Chan, N.H. and Wei, C.Z. (1987) Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics, 15, 1050-1063.
[5] Nabeya, S. and Perron, P. (1994) Local asymptotic distributions related to the AR(1) model with dependent errors. Journal of Econometrics, 62, 229-264.
[6] Phillips, P.C.B. and Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115-130.
[7] Kallenberg, O. (2002) Foundations of modern probability. Springer, Berlin.

为你推荐