| AR(1)模型下F检验的性质 |
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| 引用本文： | 樊亚莉,王林平.AR(1)模型下F检验的性质[J].上海理工大学学报(社会科学版),2005,27(4):295-299. |
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| 作者姓名： | 樊亚莉 王林平 |
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| 作者单位： | [1]上海理工大学理学院,上海200093 [2]上海师范大学数理信息学院,上海200234 |
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| 摘 要： | 讨论误差服从一阶自回归的线性模型关于回归系数的线性假设检验问题,在方差参数已知的情况下,研究了检验统计量的性质;在方差参数未知时,采用前三阶中心矩相等的方法,提出两种近似检验方法．模拟结果显示,当误差正相关程度较高时,两种近似检验在具有较小的第一类错误的同时,具有较大的功效。
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| 关 键 词： | 一阶自回归 功效函数 F统计量 |
Properties of F statistics with AR(1) model |
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| Fan YaLi;Wang LinPing.Properties of F statistics with AR(1) model[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2005,27(4):295-299. |
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| Authors: | Fan YaLi;Wang LinPing |
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| Abstract: | The problem of testing linear hypothesis about regression coefficients of linear model with AR(1) errors is discussed.The properties of tests statistic are studied when the variance parameter is known.For unknown variance parameter case,two approximate tests statistics are proposed by "matching the first three moments".The simulation results show that for high positive errors correlation cases,these two approximate tests statistics have lower type-1 error and larger power. |
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| Keywords: | autocrooelation power function F statistics |
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