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.
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 and the restriction quasi-likelihood estimator ＊ were discussed.Furthermore,we considered the problem of testing homogeneity of parameters against the simple order restriction,and also gave a simulation.
出处
《吉林大学学报（理学版）》
CAS
CSCD
北大核心
2011年第3期447-451,共5页
Journal of Jilin University:Science Edition
基金
国家自然科学基金(批准号:10971081)
高等学校博士学科点专项科研基金(批准号:20070183023)
关键词
拟似然估计
序约束
假设检验
quasi-likelihood estimation
order restriction
hypothesis testing
