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 2

$\{\epsilon_t\}\sim t(2)$ 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	1.9244	2.0396	2.0043	2.0182
		SD	2.1240	0.9085	0.7293	0.7503
0.9	-2	Mean	-1.9520	-2.0495	-2.0119	-2.0155
		SD	2.3319	0.9362	0.7937	0.8031
$n = 400$
-0.9	2	Mean	1.9621	2.0164	2.0065	2.0172
		SD	1.6561	0.6101	0.5121	0.3659
0.9	-2	Mean	-1.9583	-1.9832	-2.0018	-2.0112
		SD	1.6165	0.6406	0.5269	0.3847