Regression modelEconometrics / time series
非线性广义最小二乘 (NGLS)
非线性广义最小二乘将经典的广义最小二乘 (GLS) 框架扩展到均值函数在参数上非线性的回归模型。它通过使用估计的误差协方差矩阵对非线性目标进行预加权，从而解释非球形误差（异方差性或自相关性），产生一致且渐近有效的估计。
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来源
- Gallant, A. R. (1987). Nonlinear Statistical Models. Wiley. ISBN: 978-0471802600
- Davidson, R., & MacKinnon, J. G. (2004). Econometric Theory and Methods. Oxford University Press. link ↗
如何引用本页
ScholarGate. (2026, June 3). Nonlinear Generalized Least Squares. ScholarGate. https://scholargate.app/zh/econometrics/nonlinear-gls
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