重尾非线性自回归模型自加权M-估计的渐近分布
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傅可昂,丁丽,李君巧
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Asymptotics for the Self-Weighted M-Estimation of Nonlinear Autoregressive Models with Heavy-Tailed Errors
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Keang Fu,Li Ding,Junqiao Li
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表 1 $\{\epsilon_t\}\sim t(3)$的模拟结果
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| $\theta_1$ | $\theta_2$ | | $\hat{\theta}_{2_{LS}}$ | $\hat{\theta}_{2_{{L_1}}}$ | $\hat{\theta}_{2_{SM_1}}$ | $\hat{\theta}_{2_{SM_2}}$ | | $n = 200$ | | | -0.9 | 2 | Mean | 2.0802 | 2.0592 | 2.0279 | 2.0215 | | | SD | 0.9983 | 0.7977 | 0.6060 | 0.6419 | | 0.9 | -2 | Mean | -1.8743 | -1.9307 | -2.0247 | -2.0507 | | | SD | 1.0449 | 0.8511 | 0.6223 | 0.6847 | | $n = 400$ | | | -0.9 | 2 | Mean | 2.0136 | 1.9881 | 1.9997 | 2.0135 | | | SD | 0.6956 | 0.5466 | 0.4115 | 0.4540 | | 0.9 | -2 | Mean | -1.9341 | -1.9648 | -2.0044 | -2.0023 | | | SD | 0.7366 | 0.5947 | 0.4401 | 0.4714 |
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