[1]贺传富.非线性约束条件的平稳自回归模型的L1-估计[J].东南大学学报(自然科学版),2001,31(5):115-120.[doi:10.3969/j.issn.1001-0505.2001.05.025]
 He Chuanfu.L1-Estimators of Stationary Autoregressive Model with Nonlinear Constraints[J].Journal of Southeast University (Natural Science Edition),2001,31(5):115-120.[doi:10.3969/j.issn.1001-0505.2001.05.025]
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非线性约束条件的平稳自回归模型的L1-估计()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
31
期数:
2001年第5期
页码:
115-120
栏目:
数学、物理学、力学
出版日期:
2001-09-20

文章信息/Info

Title:
L1-Estimators of Stationary Autoregressive Model with Nonlinear Constraints
作者:
贺传富
南京大学数学系, 南京 210093
Author(s):
He Chuanfu
Department of Mathematics, Nanjing University, Nanjing 210093, China)
关键词:
L1-估计 非线性约束 自回归模型
Keywords:
L1-estimator nonlinear constraint autoregressive model
分类号:
O211.61
DOI:
10.3969/j.issn.1001-0505.2001.05.025
摘要:
L1-估计是统计问题中一个重要估计.时间序列模型的L1-估计问题是非常重要的,这些估计量的多种性质都被研究过.许多统计学者讨论了它在无约束条件情况下的估计问题及其有关性质,且得到了很好的结果,然而,仍有一些基本问题有待解决.本文讨论了平稳自回归模型的L1-估计在非线性约束条件下的渐近性质.该约束条件是由非线性等式和不等式给出.这种估计问题属于随机优化问题.用最优化的方法克服非线性约束问题在估计研究上的困难,为估计提供一个新的途径,并得到了L1-估计问题的相关结果.
Abstract:
L1-estimator is an important estimator in statistic problems. L1-estimation for time series is very important. Some properties of these estimators have been studied. Many statistics scholars have studied estimator problems and their properties with absence of restriction and reached good conclusions. However, some basic problems on this subject are left open. This paper studies the asymptotic behavior of L1-estimator of stationary autoregressive models with nonlinear constraint. Here the constraint is given by nonlinear equalities and inequalities. This kind of estimation problem is a stochastic optimization problem. Optimization methods are used to overcome the difficulty caused by nonlinear constraint and this paper also provides relevant conclusions of this problem.

参考文献/References:

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相似文献/References:

[1]贺传富,周惠新,虞献群.非线性约束条件的污染数据的L2-估计[J].东南大学学报(自然科学版),2004,34(5):686.[doi:10.3969/j.issn.1001-0505.2004.05.028]
 He Chuanfu,Zhou Huixin,Yu Xianqun.L 2-estimators of contaminated data with nonlinear constraints[J].Journal of Southeast University (Natural Science Edition),2004,34(5):686.[doi:10.3969/j.issn.1001-0505.2004.05.028]

备注/Memo

备注/Memo:
作者简介:贺传富,男,1965年生,讲师,硕士研究生.
更新日期/Last Update: 2001-09-20