具有Laplace边际分布的二元自回归模型的统计推断

吉林大学学报(理学版) ›› 2018, Vol. 56 ›› Issue (6): 1419-1422.

具有Laplace边际分布的二元自回归模型的统计推断

陈晋^1,2, 王德辉²

1. 吉林建筑大学城建学院基础科学部, 长春 130114; 2.吉林大学数学学院, 长春 130012

收稿日期:2018-08-09 出版日期:2018-11-26 发布日期:2018-11-26
通讯作者: 王德辉 E-mail:wangdh@jlu.edu.cn

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

CHEN Jin^1,2, WANG Dehui²

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

摘要/Abstract

摘要： 考虑具有Laplace边际分布的二元一阶自回归时间序列模型, 给出该模型的性质及参数的条件最小二乘估计, 并讨论估计量的相合性和渐近正态性. 最后给出数值模拟和实例分析.

关键词: 二元自回归模型, BEAR(1)模型, NLAR(2)模型, 条件最小二乘估计

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

中图分类号:

O212.1

陈晋, 王德辉. 具有Laplace边际分布的二元自回归模型的统计推断[J]. 吉林大学学报(理学版), 2018, 56(6): 1419-1422.

CHEN Jin, WANG Dehui. Statistical Inference of Bivariate Autoregressive Modelwith Laplace Marginal Distribution#br#[J]. Journal of Jilin University Science Edition, 2018, 56(6): 1419-1422.