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 2 $\{\epsilon_t\}\sim t(2)$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 | 1.9244 | 2.0396 | 2.0043 | 2.0182 | | | SD | 2.1240 | 0.9085 | 0.7293 | 0.7503 | | 0.9 | -2 | Mean | -1.9520 | -2.0495 | -2.0119 | -2.0155 | | | SD | 2.3319 | 0.9362 | 0.7937 | 0.8031 | | $n = 400$ | | | -0.9 | 2 | Mean | 1.9621 | 2.0164 | 2.0065 | 2.0172 | | | SD | 1.6561 | 0.6101 | 0.5121 | 0.3659 | | 0.9 | -2 | Mean | -1.9583 | -1.9832 | -2.0018 | -2.0112 | | | SD | 1.6165 | 0.6406 | 0.5269 | 0.3847 |
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