The Moment Estimator for the Diabonal BL Time Series Model and Its Asymptotic Distribution
Received:July 02, 1992  Revised:August 01, 1994
Key Word: BL model   moment estimation   invertibility   stationarity   convergence in dis-tribution   convergence in probability   limit distribution.  
Fund ProjectL:
Author NameAffiliation
Chen Jiaxin Dept. of Math.
Shantou Univ.
 
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Abstract:
      The problem of estimating the parameters b and σt in the simple diagonal BL model x= e + bxt-1et-1 is considered,where {e} is white noise with E(e)=0,E(et8) < +∞;The asymptotic normality of the moment estimator of b and σt is proved.
Citation:
DOI:10.3770/j.issn:1000-341X.1995.03.026
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