| 广义离散型指数族ARMA模型的参数估计及其Bootstrap置信区间 |
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| 引用本文： | 陈筠筠,林建华,林少炜.广义离散型指数族ARMA模型的参数估计及其Bootstrap置信区间[J].厦门大学学报(自然科学版),2006,45(5):634-637. |
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| 作者姓名： | 陈筠筠 林建华 林少炜 |
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| 作者单位： | 厦门大学数学科学学院,福建,厦门,361005 |
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| 摘 要： | 针对广义离散型指数族ARMA模型，采用Scoring算法对模型进行参数估计，并得到Scoring算法中方向向量的计算公式；再运用分块移动Bootstrap构造参数的置信区间，这种方法更加实用，收敛速度快，并在模拟数据和真实数据部分都得到令人满意的结果．
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| 关 键 词： | 广义离散型指数族 ARMA模型 Scoring算法 分块移动Bootstrap |
| 文章编号： | 0438-0479(2006)05-0634-04 |
| 收稿时间： | 01 11 2005 12:00AM |
| 修稿时间： | 2005年1月11日 |
Parameters Estimation and Bootstrap Confidence Intervals of Generalized Discrete Exponential Family ARMA Models |
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| CHEN Jun-jun,LIN Jian-hua,LIN Shao-wei.Parameters Estimation and Bootstrap Confidence Intervals of Generalized Discrete Exponential Family ARMA Models[J].Journal of Xiamen University(Natural Science),2006,45(5):634-637. |
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| Authors: | CHEN Jun-jun LIN Jian-hua LIN Shao-wei |
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| Institution: | School of Mathematical Science,Xiamen University,Xiamen 361005,China |
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| Abstract: | The objective of this paper is to estimate the parameters of generalized discrete exponential family ARMA models and construct the confidence intervals of the parameters. This paper use Scoring algorithm to estimate the parameters and gain the formula of direction vectors in the algorithm. Further more,the method of Moving Blocks Bootstrap gives satisfied results for both simulative and true data. |
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| Keywords: | generalized discrete exponential family ARMA models Scoring algorithm moving blocks Bootstrap |
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