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数学与物理
理论数学
Vol. 4 No. 6 (November 2014)
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近爆炸性自回归序列中参数估计量的渐近性质
Asymptotic Properties for the Parameter Estimator in the Near-Explosive Autoregressive Process
DOI:
10.12677/PM.2014.46038
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被引量
下载: 2,599
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作者:
于明明
,
孟 娇
:南京航空航天大学,南京
关键词:
自回归序列
;
最小二乘法估计量
;
近爆炸
;
Autoregressive Process
;
Least Squares Estimator
;
Near-Explosive
摘要:
本论文的目的是研究近爆炸性自回归序列
中, 当
,
时参数
最小二乘估计量的渐近分布。
Abstract:
In this paper, we focus our attention on the following near-explosive autoregressive process:
. When
and
in the near-explosive case, the asymptotic dis-tributions for the least squares estimator of
can be obtained.
文章引用:
于明明, 孟娇. 近爆炸性自回归序列中参数估计量的渐近性质[J]. 理论数学, 2014, 4(6): 261-267.
http://dx.doi.org/10.12677/PM.2014.46038
参考文献
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1
]
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[
3
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Bercu, B. and Proia, F. (2013) A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autore-gressive process. ESAIM: Probability and Statistics, 17, 500-530.
[
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Chan, N.H. and Wei, C.Z. (1987) Asymptotic inference for nearly nonstationary AR(1) processes. Annals of Statistics, 15, 1050-1063.
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Nabeya, S. and Perron, P. (1994) Local asymptotic distributions related to the AR(1) model with dependent errors. Journal of Econometrics, 62, 229-264.
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Phillips, P.C.B. and Magdalinos, T. (2007) Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115-130.
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Kallenberg, O. (2002) Foundations of modern probability. Springer, Berlin.
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