Asymptotic distribution for the self-weighted estimation of the error variance in GRCA (1) models(GRCA（1）模型中误差方差自加权估计的渐近分布)

Asymptotic distribution for the self-weighted estimation of the error variance in GRCA (1) models(GRCA（1）模型中误差方差自加权估计的渐近分布)

考虑随机系数自回归模型yt = Φt yt - 1 + ut，其中Φt 为随机系数，ut 为随机误差。在允许Φt 与ut 相依以及无穷的条件下，构造了误差方差的自加权估计，并证明了该估计的渐近正态性。最后通过数值模拟，说明自加权估计的稳健和有效性。...

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Bibliographic Details
Main Authors: FUKeang(傅可昂), DINGLi(丁丽), LITing(李婷), CHENHao(陈豪), HEWenkai(何文凯)
Format: Article
Language:zho
Published: Zhejiang University Press 2019-07-01
Series:Zhejiang Daxue xuebao. Lixue ban
Subjects:
广义随机系数自回归
误差方差
自加权估计
渐近正态
Online Access:https://doi.org/10.3785/j.issn.1008-9497.2019.04.006

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