期刊文献+

ARCH过程的均值变点估计

Estimating for mean change-point in ARCH models
下载PDF
导出
摘要 研究ARCH过程的均值变点估计.在较弱的条件下证明了变点估计的一致性,并得到了估计的收敛率;为构造变点的置信区间给出了变点的极限分布.模拟结果表明方法的有效性. This paper studies the estimating for mean change-point in ARCH models. Consistency of change-point estimator is proved and its rate of convergence is established under weak assumptions. To construct confidence interval, the limiting distribution of change-point estimator is obtained. Results of a simulation study support the validity of this method.
作者 韩四儿 田铮
出处 《高校应用数学学报(A辑)》 CSCD 北大核心 2007年第2期181-186,共6页 Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金 国家自然科学基金(60375003) 航空科学资助项目(03I53059)
关键词 ARCH过程 变点 BROWN运动 ARCH process change-point Brownian motion
  • 引文网络
  • 相关文献

参考文献6

  • 1Hinkley D.Inference about the change point in a sequence of random variables[J].Biometrika,1970,57:1-17. 被引量:1
  • 2Bhattacharya P K.Maximum likelihood estimation of a change-point in the distribution of independent random variables:general multiparameter case[J].J Multi Anal,1987,23:183-203. 被引量:1
  • 3Yao Y C.Approximating the distribution of the ML estimate of the change-point in a sequence of independent r.v.'s[J].Ann Statist,1987,3:1321-1328. 被引量:1
  • 4Picard D.Testing and estimating change-points in time series[J].Adv Appl Probab,1985,17:841-862. 被引量:1
  • 5Bai J.Least squares estimation of a shift in linear processes[J].J Time Set Anal,1994,15:453-472. 被引量:1
  • 6Davidson J.Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes[J].Journal of Econometrics,2002,106:243-269. 被引量:1
;
使用帮助 返回顶部