| 序约束下AR(2)模型参数的拟似然估计 |
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| 引用本文： | 齐芯,王德辉. 序约束下AR(2)模型参数的拟似然估计[J]. 吉林大学学报(理学版), 2011, 49(3): 447-451 |
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| 作者姓名： | 齐芯 王德辉 |
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| 作者单位： | 1. 吉林大学 珠海学院, 广东 珠海 519041,2. 吉林大学 数学研究所, 长春 130012 |
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| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研基金 |
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| 摘 要： | 在约束条件下利用拟似然估计方法对AR(2)模型的参数进行统计推断,研究了拟似然估计(α)和约束拟似然估计(α)*的相合性及渐近正态性,并给出了AR(2)模型参数序关系的假设检验方法及模拟结果.
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| 关 键 词： | 拟似然估计 序约束 假设检验 |
| 收稿时间： | 2010-09-25 |
Quasi-likelihood Estimation of Parameters in AR(2) Model under Order Restriction |
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| QI Xin,WANG De-hui. Quasi-likelihood Estimation of Parameters in AR(2) Model under Order Restriction[J]. Journal of Jilin University: Sci Ed, 2011, 49(3): 447-451 |
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| Authors: | QI Xin WANG De-hui |
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| Affiliation: | 1. College of Zhuhai, Jilin Universty, Zhuhai 519041, Guangdong Province, China;2. Institute of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | We studied the parameter estimation for AR(2) model under simple order restriction via quasi likelihood method. The strong consistency and asymptotic property of quasi likelihood estimator [WTHX]〖AKα^〗[WT] and the restriction quasi-likelihoodestimator a* were discussed. Furthermore, we considered the problem of testing homogeneity of parameters against the simple order restriction, and also gave a simulation. |
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| Keywords: | quasi-likelihood estimation order restriction hypothesis testing |
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