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 3 $\{\epsilon_t\}$ (0, 1)$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 | 14.4757 | 2.6779 | 2.0648 | 2.0772 | | | SD | 813.7240 | 28.9289 | 2.3877 | 2.2688 | | 0.9 | -2 | Mean | -23.0939 | -1.8470 | -2.0652 | -2.0545 | | | SD | 627.0616 | 295.3715 | 3.6210 | 2.5467 | | $n = 400$ | | | -0.9 | 2 | Mean | 3.7147 | 2.0554 | 2.0279 | 2.0320 | | | SD | 233.3033 | 1.2508 | 1.2325 | 1.1376 | | 0.9 | -2 | Mean | -7.3892 | -2.1109 | -2.0242 | -2.0132 | | | SD | 326.2041 | 1.2015 | 1.1631 | 1.1284 |
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