The Moment Estimator for the Diabonal BL Time Series Model and Its Asymptotic Distribution
Received:July 02, 1992  Revised:August 01, 1994
Key Words: BL model   moment estimation   invertibility   stationarity   convergence in dis-tribution   convergence in probability   limit distribution.  
Fund Project:
Author NameAffiliation
Chen Jiaxin Dept. of Math.
Shantou Univ.
 
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Abstract:
      The problem of estimating the parameters b and σt２ in the simple diagonal BL model xｔ= eｔ + bxｔ-1eｔ-1 is considered,where {eｔ} is white noise with E(eｔ)=0,E(et8) < +∞;The asymptotic normality of the moment estimator of b and σt２ is proved.
Citation:
DOI:10.3770/j.issn:1000-341X.1995.03.026
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