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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重尾非线性自回归模型自加权M-估计的渐近分布

傅可昂,丁丽,李君巧

Asymptotics for the Self-Weighted M-Estimation of Nonlinear Autoregressive Models with Heavy-Tailed Errors

Keang Fu,Li Ding,Junqiao Li

表 1

$\{\epsilon_t\}\sim t(3)$ 的模拟结果

$\theta_1$	$\theta_2$		$\hat{\theta}_{2_{LS}}$	$\hat{\theta}_{2_{{L_1}}}$	$\hat{\theta}_{2_{SM_1}}$	$\hat{\theta}_{2_{SM_2}}$
$n = 200$
-0.9	2	Mean	2.0802	2.0592	2.0279	2.0215
		SD	0.9983	0.7977	0.6060	0.6419
0.9	-2	Mean	-1.8743	-1.9307	-2.0247	-2.0507
		SD	1.0449	0.8511	0.6223	0.6847
$n = 400$
-0.9	2	Mean	2.0136	1.9881	1.9997	2.0135
		SD	0.6956	0.5466	0.4115	0.4540
0.9	-2	Mean	-1.9341	-1.9648	-2.0044	-2.0023
		SD	0.7366	0.5947	0.4401	0.4714