ar1模型中自回归系数的 有限样本统计推断word格式论文.docxVIP

优秀毕业论文 精品参考文献资料 摘 要 本文详尽地探讨了一阶自回归模型(AR(1)模型)中自回归系数的有限样本统 计推断问题. 本文包含两部分内容. 前一部分首先对于带正态白噪声的 AR(1)模 型, 构造了模型中自回归系数的精确置信域(无论 AR(1)序列的均值已知或未知), 据此研究了关于自回归系数的简单检验问题. 其次, 本文依据似然比检验方法建 立了模型中自回归系数的渐近置信域. 最后, 在覆盖率意义下对以上两种置信域 进行了比较(通过 Monte Carlo 方法). 结果表明了, 在有限样本场合下, 本文所提 出的精确置信域是优于基于似然比检验方法得到的渐近置信域. 后一部分对带正态白噪声的 AR(1)模型中未知参数极大似然估计的存在性 及唯一性进行了研究. 所得结论说明了, 无论 AR(1)序列的均值已知还是未知, 模型中参数极大似然估计均以概率为 1 地存在并且唯一, 且自回归系数的极大似 然估计的分布仅依赖于其本身. 所用方法可以方便地给出自回归系数的极大似 然估计分布函数的解析表达式, 据之通过 Monte Carlo 方法可绘制其图像. 关键词: AR(1)模型; 自回归系数; 似然比检验; 覆盖率; 精确置信域; 渐近 置信域; 极大似然估计; 存在唯一性 I Abstract Abstract This paper discusses thoroughly the problem of finite sample statistical inference for autoregressive coefficient in AR(1) model. There are two parts in this paper. In the front part, for first order autoregressive model with normal white noise, this paper constructs the exact confidence region of autoregressive coefficient in the model firstly (no matter the mean of AR(1) series is or not known), and some simple test questions about autoregressive coefficient is research on it. Then, the asymptotic confidence region is established by likelihood ratio test. This two kinds of confidence region is compared in coverage probability sense at last (by Monte Carlo method). The result shows that, in finite sample situation, the exact confidence region proposed in this paper is better than the asymptotic confidence region based on likelihood ratio test. In another part behind, the paper is devoted to the study of existence and uniqueness of maximum likelihood estimates of unknown parameters in AR(1) model with normal white noise. The results are provided the present: no matter the mean of AR(1) series is or not known, the maximum likelihood estimates of unknown parameters in AR(1) model exist and unique with probability one. And the distribution of maximum likelihood estimation of autoregressive coefficient only rely on itself. The method that used can give analytical expressions of distribution function of maximu