本文選題：AR模型　切入點(diǎn)：穩(wěn)健統(tǒng)計(jì)量　出處：《統(tǒng)計(jì)與信息論壇》2017年05期 　論文類型：期刊論文

【摘要】：時(shí)間序列自回歸AR模型在建模過程中易受離群值的影響,導(dǎo)致計(jì)算結(jié)果與實(shí)際不相符。針對這一現(xiàn)象,運(yùn)用FQn統(tǒng)計(jì)量對傳統(tǒng)自相關(guān)函數(shù)進(jìn)行改進(jìn),構(gòu)建出自回歸AR模型的穩(wěn)健估計(jì)算法,以克服離群值的影響,并對此方法進(jìn)行了模擬和實(shí)證分析。模擬和實(shí)證分析均表明:當(dāng)時(shí)序數(shù)據(jù)中不存在離群值時(shí),傳統(tǒng)估計(jì)方法與穩(wěn)健估計(jì)方法得到的結(jié)果基本保持一致;當(dāng)數(shù)據(jù)中存在離群值時(shí),運(yùn)用傳統(tǒng)估計(jì)方法得到的結(jié)果出現(xiàn)較大變化,而運(yùn)用穩(wěn)健估計(jì)方法得到的結(jié)果基本不變.這說明相對于傳統(tǒng)估計(jì)方法,穩(wěn)健估計(jì)方法能有效抵抗離群值的影響,具有良好的抗干擾性和高抗差性。
[Abstract]:The autoregressive AR model of time series is easily affected by outliers in the process of modeling, which leads to the inconsistency between the calculated results and the actual results. In view of this phenomenon, the traditional autocorrelation function is improved by using FQn statistics. A robust estimation algorithm based on regression AR model is constructed to overcome the influence of outliers. The simulation and empirical analysis show that: when outliers do not exist in time series data, The results obtained by the traditional estimation method are basically consistent with those obtained by the robust estimation method, and when there are outliers in the data, the results obtained by the traditional estimation methods vary greatly. The results obtained by the robust estimation method are basically unchanged, which shows that the robust estimation method can effectively resist the influence of outliers, and has good anti-interference and high robustness compared with the traditional estimation method.
【作者單位】： 廣東財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與數(shù)學(xué)學(xué)院;
【基金】：國家社會(huì)科學(xué)基金項(xiàng)目《穩(wěn)健統(tǒng)計(jì)過程控制的大數(shù)據(jù)分析方法研究》(16BTJ035) 廣東省自然科學(xué)基金項(xiàng)目《穩(wěn)健過程控制圖的構(gòu)建及評(píng)價(jià)方法研究》(2016A030313108)
【分類號(hào)】：F224;F830

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