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浙江大学学报（理学版）
浙江大学学报（理学版）  2019, Vol. 46 Issue (4): 416-421    DOI: 10.3785/j.issn.1008-9497.2019.04.006
数学与计算机科学     
GRCA(1)模型中误差方差自加权估计的渐近分布
傅可昂, 丁丽, 李婷, 陈豪, 何文凯
浙江工商大学 统计与数学学院，浙江 杭州 310018
Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models
FU Keang, DING Li, LI Ting, CHEN Hao, HE Wenkai
School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China
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摘要： 考虑随机系数自回归模型Yt =Φtyt-1+ ut，其中 Φt为随机系数，ut为随机误差。在允许Φt与ut相依以及Eut无穷的条件下，构造了误差方差的自加权估计，并证明了该估计的渐近正态性。最后通过数值模拟，说明 自加权估计的稳健和有效性。
关键词： 广义随机系数自回归;  误差方差;  自加权估计;  渐近正态    
Abstract: Consider the random coefficient autoregressive model Yt =Φtyt-1+ ut, in which the random coefficients are permitted to be correlated with the random errors. A robust self-weighted M-estimator of the error variance is proposed, and shown to be asymptotically normal with Eut4 being possibly infinite. Some simulation studies are also given to show the good performance of the self-weighted estimator.
Key words: generalized random coefficient autoregression    error variance    self-weighted estimation    asymptotic normality
收稿日期: 2018-07-10 出版日期: 2019-07-25
CLC:  O212.1  
基金资助: 浙江省自然科学基金资助项目(LY17A01004)；教育部人文社科研究青年基金项目(17YJC910002)；浙江省一流学科A类项目(浙江工商大学统计学)；浙江工商大学研究生科研创新基金项目.
作者简介: 傅可昂(1982—)，ORCID: https://orcid.org/0000-0002-3879-3224，男，博士，教授，主要从事概率极限理论研究，E-mail:fukeang@zjsu.edu.cn.
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引用本文:

傅可昂, 丁丽, 李婷, 陈豪, 何文凯. GRCA(1)模型中误差方差自加权估计的渐近分布[J]. 浙江大学学报（理学版）, 2019, 46(4): 416-421.

FU Keang, DING Li, LI Ting, CHEN Hao, HE Wenkai. Asymptotic distribution for the self-weighted estimation of the error variance in GRCA(1) models. Journal of Zhejiang University (Science Edition), 2019, 46(4): 416-421.

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https://www.zjujournals.com/sci/CN/10.3785/j.issn.1008-9497.2019.04.006    或    https://www.zjujournals.com/sci/CN/Y2019/V46/I4/416

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