| 一类不可观测ARMA过程参数的最小方差估计的强相容性 |
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| 引用本文： | 陈家鑫. 一类不可观测ARMA过程参数的最小方差估计的强相容性[J]. 汕头大学学报(自然科学版), 1997, 12(2): 1-11 |
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| 作者姓名： | 陈家鑫 |
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| 作者单位： | 汕头大学数学系 |
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| 摘 要： | 本文讨论一类不可观测ＡＲＭＡ过程｛ｕ１｝参数的估计，基于Ｎ个可观测的样本值ｘ１，ｘ２，……，ｘＮ，其中ｘｔ＝ｕｔ＋δｔ，１≤ｔ≤Ｎ，假设｛δｔ｝满足另一个ＡＲＭＡ方程，我们给出参数的最小方差估计量，并证明了这些估计量的强相容性。
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| 关 键 词： | 变量误差模型，谱密度函数，周期图，最小方差估计，强相容估计 |
Strong consistence of minimum variance estimation of parameters in an unobservable ARMA process |
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| Chen Jiaxin. Strong consistence of minimum variance estimation of parameters in an unobservable ARMA process[J]. Journal of Shantou University(Natural Science Edition), 1997, 12(2): 1-11 |
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| Authors: | Chen Jiaxin |
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| Abstract: | This paper discusses the estimation of parameters of an unobservable ARMA process {ut}, on the basis of samples with N observables: x1, x2, ……,xN, where xt =ut+δt and 1≤t≤N, on the assumption that {δt} is satisfied by another ARMA pro- cess. We give the minimum variance estimators and then prove the strong consistence of these estimators. |
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| Keywords: | error-in-variable model spectral density function periodogram mini- mum variance eatimator strong coinsistent estimator |
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