具有时间函数方差噪声的随机系数自回归模型的渐近推理

IF 0.9 4区 数学 Q3 MATHEMATICS, APPLIED
En-wen Zhu, Zi-wei Deng, Han-jun Zhang, Jun Cao, Xiao-hui Liu
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引用次数: 0

摘要

本文研究具有时间函数方差噪声的随机系数自回归模型,以下简称 RCA-TFV 模型。我们首先建立了常数系数的条件最小二乘估计器的一致性和渐近正态性。我们还构建了随机系数方差的半参数最小二乘估计器和方差函数的非参数估计器,并报告了它们的渐近结果。在对真实数据进行分析的同时,还进行了模拟研究,以评估我们的方法在有限样本中的性能。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises

This paper considers the random coefficient autoregressive model with time-functional variance noises, hereafter the RCA-TFV model. We first establish the consistency and asymptotic normality of the conditional least squares estimator for the constant coefficient. The semiparametric least squares estimator for the variance of the random coefficient and the nonparametric estimator for the variance function are constructed, and their asymptotic results are reported. A simulation study is presented along with an analysis of real data to assess the performance of our method in finite samples.

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来源期刊
CiteScore
1.30
自引率
0.00%
发文量
70
审稿时长
3.0 months
期刊介绍: Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
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