| 非负门限自回归模型NTAR（1） |
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| 引用本文： | 李元,王清河,常兆光.非负门限自回归模型NTAR（1）[J].中国石油大学学报(自然科学版),1994(5). |
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| 作者姓名： | 李元 王清河 常兆光 |
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| 作者单位： | 石油大学数理系 |
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| 摘 要： | 本文对一阶非负门限自回归模型ＮＴＡＲ（１）作了讨论，指出ＮＴＡＲ（１）模型有根强的实际背景，用马尔克夫理论证明了ＮＴＡＲ（１）模型的平稳性、几何遍历性，给出了矩的存在条件和参数估计。
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| 关 键 词： | 门限自回归模型 马尔可夫链 几何遍历性 |
NONNEGATIVE-THRESHOLD AUTOREGRESSIVE MODELS NTAR(1) |
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| Li Yuan,Wang Qinghe,Chang Zhaoguang.NONNEGATIVE-THRESHOLD AUTOREGRESSIVE MODELS NTAR(1)[J].Journal of China University of Petroleum,1994(5). |
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| Authors: | Li Yuan Wang Qinghe Chang Zhaoguang |
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| Abstract: | The non-negative nolinear time series model of the first order(NTAR(1 ))isproposed which can be used to model such a series as river flow.The stationarity andergodicity of the model are obtained by using markoy chain theory developed recently byTweedle.The moment conditions of the model are also discussed,It is shown that theconditional least square estimators of the model parameters are consistent under certainConditions. |
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| Keywords: | Non-negative nonlinear time seties:Markov Chain:Conditional least square estimation |
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