部分线性自回归模型中误差方差伪最小二乘估计的渐近正态性

数学季刊 ›› 2006, Vol. 21 ›› Issue (4): 617-622.

部分线性自回归模型中误差方差伪最小二乘估计的渐近正态性

Department of Applied Mathematics Northwestern Polytechnical University,Department of Applied Mathematics,Northwestern Polytechnical University,Department of Applied Mathematics,Northwestern Polytechnical University,,Xi’an 710072,China,Xi’an 710072,China National Key Laboratory of Pattern Recognition,Beijing 100080,China Institute of Automation,Chinese Academy of Sciences,Beijing 100080,China,Xi’an 710072,China

收稿日期:2005-10-10 出版日期:2006-12-30 发布日期:2023-11-23
作者简介:WU Xin-qian(1969-),male,native of Zhongmou,Henan,Ph.D.,engages in nonlinear time series analysis;TIAN Zheng(1948-),female,native ofFaku,Liaoning,a professor and tutor of doctor student of Northwestern Polytechnical University,engages in nonlinear time series analysis.
基金资助:
Supported by the National Natural Science Foundation of China(60375003)； Supported by the Chinese Aviation Foundation(03153059)；

Asymptotic Normality of Pseudo-LS Estimator of Error Variance in Partly Linear Autoregressive Models

Department of Applied Mathematics Northwestern Polytechnical University,Department of Applied Mathematics,Northwestern Polytechnical University,Department of Applied Mathematics,Northwestern Polytechnical University,,Xi’an 710072,China,Xi’an 710072,China National Key Laboratory of Pattern Recognition,Beijing 100080,China Institute of Automation,Chinese Academy of Sciences,Beijing 100080,China,Xi’an 710072,China

Received:2005-10-10 Online:2006-12-30 Published:2023-11-23
About author:WU Xin-qian(1969-),male,native of Zhongmou,Henan,Ph.D.,engages in nonlinear time series analysis;TIAN Zheng(1948-),female,native ofFaku,Liaoning,a professor and tutor of doctor student of Northwestern Polytechnical University,engages in nonlinear time series analysis.
Supported by:
Supported by the National Natural Science Foundation of China(60375003)； Supported by the Chinese Aviation Foundation(03153059)；

摘要/Abstract

摘要： Consider the model Y_t=βY_t-1+g(Y_t-2)+ε_tfor 3＜=t＜=T. Here g is an unknown function,βis an unknown parameter, vε_t are i.i.d,random errors with mean 0 and varianceσ2 and the fourth moment α_4,andεt are independent of Y_s for all t＞=3 and s=1,2. Pseudo-LS estimators ... distribution to N(0,1). The result can be used to establish large sample interval estimates of σ² or to make large sample tests for σ².

关键词: partly , linear , autoregressive , model;error , variance;piecewise , polynomial, pseudo-LS estimation;weak consistency;asymptotic normality

Abstract: Consider the model Y_t=βY_t-1+g(Y_t-2)+ε_tfor 3＜=t＜=T. Here g is an unknown function,βis an unknown parameter, vε_t are i.i.d,random errors with mean 0 and varianceσ2 and the fourth moment α_4,andεt are independent of Y_s for all t＞=3 and s=1,2. Pseudo-LS estimators ... distribution to N(0,1). The result can be used to establish large sample interval estimates of σ² or to make large sample tests for σ².

Key words: partly , linear , autoregressive , model;error , variance;piecewise , polynomial, pseudo-LS estimation;weak consistency;asymptotic normality

中图分类号:

O212.7

武新乾, 田铮, 句彦伟. 部分线性自回归模型中误差方差伪最小二乘估计的渐近正态性[J]. 数学季刊, 2006, 21(4): 617-622.

WU Xin-qian, TIAN Zheng, JU Yan-wei. Asymptotic Normality of Pseudo-LS Estimator of Error Variance in Partly Linear Autoregressive Models[J]. Chinese Quarterly Journal of Mathematics, 2006, 21(4): 617-622.

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