摘要
本文利用联合估计函数方法(CEF)对广义随机系数自回归(GRCA)模型进行统计研究.应用联合估计函数方法得到广义随机系数自回归模型参数估计量,证明了提出的参数估计量的相合性和渐近正态性,利用数值模拟对提出的参数统计量进行对比分析,数值模拟结果表明,联合估计方法的参数估计量优于基于估计函数方法、伪极大似然方法、最小二乘方法的参数估计量,实证研究也说明CEF方法具有较好的效果.
The combine estimation function(CEF)method is applied to the statistical study of the generalized random coeficient autoregressive model(GRCA)in this paper.The parameter estimators of the generalized random coeficient autoregressive model are obtained by using the combine estimation function method.The consistency and asymptotic normality of the proposed parameter estimators are proved.The comparison is made by using numerical simulation.The results show that the combine estimation method is better than the estimators based on estimation function method,pseudo-maximum likelihood method and least squares method.The empirical study also shows that CEF method has a good effect.
作者
韩玉
王书鹏
郝运
HAN YU;WANG SHUPENG;HAO YUN(College of Science,Northeast Electric Power University,Jilin 132012,China)
出处
《应用数学学报》
CSCD
北大核心
2023年第4期622-634,共13页
Acta Mathematicae Applicatae Sinica
基金
吉林省教育厅科研项目(JJKH20200102KJ)资助。
作者简介
通讯作者:韩玉,E-mail:hanyu@neepu.edu.cn。
