吉林大学学报（理学版）2012，Vol.50Issue(6)：1135-1140,6.
一阶广义随机系数自回归模型参数的最小渐近方差估计
Smallest Asymptotic Variance Estimator for Generalized Random Coefficient Autoregressive Model
摘要
Abstract
The parameter estimator of generalized random coefficient autoregressive model was studied and a class of estimators of unknown parameter was presented. We proved the consistency and the asymptotic normality of the estimators among the class of estimators and obtained the smallest asymptotic variance estimator. Furthermore, some simulation studies were conducted to investigate the finite performances of the proposed estimators.关键词
广义随机系数自回归模型/最小二乘估计/渐近正态性/加权最小二乘估计/最小渐近方差估计Key words
generalized random coefficient autoregressive model/ least squares estimator/ asymptotic normality/ weighted conditional least squares estimator/ smallest asymptotic variance estimator分类
数理科学引用本文复制引用
赵志文,王德辉..一阶广义随机系数自回归模型参数的最小渐近方差估计[J].吉林大学学报（理学版）,2012,50(6):1135-1140,6.基金项目
国家自然科学基金(批准号:10571073 （）
10971081 （）
J0630104)、新世纪优秀人才支持计划项目(批准号:NCET-08-237)、高等学校博士学科点专项科研基金(批准号:20070183023)、吉林省科技发展计划项目青年基金(批准号:201201082)、吉林省社会科学基金(批准号:2012B115)和吉林大学基本科研业务费项目(批准号:200810024). （批准号:NCET-08-237）
