Journal of Jilin University Science Edition ›› 2018, Vol. 56 ›› Issue (6): 1419-1422.

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Statistical Inference of Bivariate Autoregressive Modelwith Laplace Marginal Distribution#br#

CHEN Jin1,2, WANG Dehui2   

  1. 1. Department of Foundation, The City College of Jilin Jianzhu University, Changchun 130114, China;2. College of Mathematics, Jilin University, Changchun 130012, China
  • Received:2018-08-09 Online:2018-11-26 Published:2018-11-26

Abstract: We considered a bivariate firstorder autoregressive time series model with Laplace marginal distribution, gave the properties of the model and conditional least squares estimation of parameters, and discussed the consistency and asymptotic normality of estimators. Finally, numerical simulation and example analysis were given.

Key words: bivariate autoregressive model, BEAR(1) model, NLAR(2) model, conditional least squares estimation

CLC Number: 

  • O212.1