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Stationary solution and parametric estimation for Bilinear model driven by ARCH noises

Stationary solution and parametric estimation for Bilinear model driven by ARCH noises
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摘要 Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of sta-tionary solution to this new model are presented. Maximum likelihood estimation of the model is discussedand some simulation results are given to evaluate our algorithm. Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm.
作者 潘家柱 李国栋 谢衷洁
出处 《Science China Mathematics》 SCIE 2002年第12期1523-1537,共15页 中国科学：数学（英文版）
基金 This work was supported by the National Natural Science Foundation of China(Grant Nos. 10071003 & 10171005).
关键词 BILINEAR model ARCH STATIONARY solution MAXIMUM LIKELIHOOD estimation. Bilinear model ARCH stationary solution maximum likelihood estimation
分类号 O211.6 [理学—概率论与数理统计]
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参考文献14

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二级参考文献9

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共引文献4

Science China Mathematics
2002年 第12期

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