| 有ARMA噪声的一种参数估计的优效性 |
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| 引用本文： | 倪均援,陈兆国.有ARMA噪声的一种参数估计的优效性[J].中国海洋大学学报(自然科学版),1993(1). |
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| 作者姓名： | 倪均援 陈兆国 |
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| 作者单位： | 青岛海洋大学
(倪均援)，中国科学院(陈兆国) |
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| 摘 要： | 对于有ARMA噪声的线性回归模型,本文给出了只用递推进行模型辨识和参数估计的线性方法。若用所计算得到的回归残差作为数据,采用Hannan-Rissanen的线性估计法求ARMA噪声的参数估计,则本文证明了估计是强相容的,且对正态序列,估计具有渐近正态优效性。
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| 关 键 词： | ARMA噪声 最小二乘估计 Hannan-Rissanen线性估计法 强相容 Guassian序列 渐近正态优效性 |
ON ASYMPTOTIC EFFICIENCY OF A KIND OF PARAMETER ESTIMATION WITH ARMA NOISE |
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| Ni Junyuan.ON ASYMPTOTIC EFFICIENCY OF A KIND OF PARAMETER ESTIMATION WITH ARMA NOISE[J].Periodical of Ocean University of China,1993(1). |
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| Authors: | Ni Junyuan |
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| Abstract: | In this paper, about the linear regression model with ARMA noise, the authors have proposed a linear procedure for model identification and parameter estimation using recursion only, and proved that if we take the obtained regressive residual by the previous procedure a.s data, and get the parameter estimate of ARMA noise by Hannan-Rissanen s linear procedure, then the estimate is of strong consistency and is of asymptotic normal efficiency for Gaussian series. |
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| Keywords: | ARMA noise LS estimation Hannan-Rissanen's linear procedure strong consistency Gaussian series asymptotic normal efficiency |
| 本文献已被 CNKI 等数据库收录！ |
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