| INGARCH模型拟极大似然估计的相合性 |
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| 引用本文： | 潘保国,林依勤.INGARCH模型拟极大似然估计的相合性[J].吉林大学学报(理学版),2010,48(4):600-604. |
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| 作者姓名： | 潘保国 林依勤 |
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| 作者单位： | 湖南科技学院 数学与计算科学系, 湖南 永州 425100 |
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| 基金项目： | 国家自然科学基金，湖南省教育厅科研项目 |
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| 摘 要： | 利用拟极大似然方法研究INGARCH模型参数的估计问题,证明了拟极大似然估计的强相合性.模拟结果表明,在样本数较大时,拟极大似然估计比最大似然估计效果更好.
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| 关 键 词： | INGARCH模型 平稳性 拟极大似然 相合性 |
| 收稿时间： | 2009-10-26 |
Consistency of Quasi-maximum Likelihood Estimators in INGARCH Model |
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| PAN Bao-guo,LIN Yi-qin.Consistency of Quasi-maximum Likelihood Estimators in INGARCH Model[J].Journal of Jilin University: Sci Ed,2010,48(4):600-604. |
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| Authors: | PAN Bao-guo LIN Yi-qin |
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| Institution: | Department of Mathematics and Computation, Hunan University of Science and Engineering,Yongzhou 425100, Hunan Province, China |
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| Abstract: | The problems of parameter estimation in the INGARCH model were studied by making use of a method of quasi maximum likelihood. Strong consistency of the estimators was proved. When the number of the sample is comparatively large, the simulation study shows that the quasi maximum likelihood estimators perform more better than the maximum likelihood estimators. |
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| Keywords: | INGARCH model stationarity quasi maximum likelihood consistency |
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