[1]冯翠莲,林金官.具有AR(p)误差的非线性模型异方差和相关性检验[J].东南大学学报(自然科学版),2007,37(6):1127-1131.[doi:10.3969/j.issn.1001-0505.2007.06.037]
　Feng Cuilian,Lin Jinguan.Testing for heteroscedasticity and autocorrelation in nonlinear models with AR(p)errors[J].Journal of Southeast University (Natural Science Edition),2007,37(6):1127-1131.[doi:10.3969/j.issn.1001-0505.2007.06.037]
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具有AR(p)误差的非线性模型异方差和相关性检验()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
37
期数:
2007年第6期
页码:
1127-1131
栏目:
数学、物理学、力学
出版日期:
2007-11-20

文章信息/Info

Title:
Testing for heteroscedasticity and autocorrelation in nonlinear models with AR(p)errors
作者:
冯翠莲1; 2;  林金官1
1 东南大学数学系, 南京 210096; 2 北京市经济管理干部学院信息系, 北京 100102
Author(s):
Feng Cuilian1; 2;  Lin Jinguan1
1 Department of Mathematics, Southeast University, Nanjing 210096, China
2 Department of Information Science, Economic Management Institute, Beijing 100102, China
关键词:
非线性模型;  异方差;  自相关性;  AR(p)误差;  score检验;  调整的score检验
Keywords:
nonlinear regression;  heteroscedasticity;  autocorrelation;  AR(p)error;  score test;  adjusted score test
分类号:
O212.2
DOI:
10.3969/j.issn.1001-0505.2007.06.037
摘要:
讨论随机误差是AR(p)序列的非线性回归模型的异方差和自相关性检验问题.首先导出联合检验的score统计量,然后利用参数的正交变换,得到了调整的score检验统计量.当模型存在自相关性时,给出了检验异方差性的score统计量和调整的score统计量.最后利用得到的检验方法分析了氯化物数据,分析结果表明,该数据具有显著的异方差和AR(2)相关性.
Abstract:
The tests for heteroscedasticity of random errors and autocorrelation in nonlinear regression models with AR(p)errors are discussed. Firstly, the score test statistic for composite test of heteroscedasticity and autocorrelation is developed. Then, based on the parameter orthogonality transformation, the modified score test is derived. In the autocorrelated models, the score test statistic and its adjustment are given. The chloride data is used to illustrate our results, which shows that these data have significant heteroscedasticity and AR(2)autocorrelation.

参考文献/References:

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[8] 林金官,韦博成.具有ARIMA(0,1,0)误差的非线性模型异方差的检验[J].数学杂志,2005,25(1):71-76.
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备注/Memo

备注/Memo:
基金项目: 国家自然科学基金资助项目(10671032).
作者简介: 冯翠莲(1965—), 女,硕士,副教授,fengcuilian@sian.com.cn.
更新日期/Last Update: 2007-11-20