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)

Affiliations

FUKeang(傅可昂): ORCiD; School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China(浙江工商大学统计与数学学院，浙江杭州 310018)
DINGLi(丁丽): School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China(浙江工商大学统计与数学学院，浙江杭州 310018)
LITing(李婷): School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China(浙江工商大学统计与数学学院，浙江杭州 310018)
CHENHao(陈豪): School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China(浙江工商大学统计与数学学院，浙江杭州 310018)
HEWenkai(何文凯): School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China(浙江工商大学统计与数学学院，浙江杭州 310018)

Abstract

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。

ISSN: 1008-9497 (Print)
Publisher: Zhejiang University Press
Country of publisher: China
LCC subjects: Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Science: Physics
Website: https://www.zjujournals.com/sci/EN/1008-9497/home.shtml