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一个整值ARCH(p)模型的经验似然推断 被引量：7

Empirical Likelihood Inference for an Integer-valued ARCH(p) Model
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摘要 研究整值ARCH(p)模型的经验似然推断.利用经验似然方法,给出了模型参数的最大经验似然估计,并证明了估计量的相合性和渐近正态性. Empirical likelihood inference for an integer-valued ARCH （p） model was studied. Empirical likelihood method was introduced, then the maximum empirical likelihood estimation of the model parameters was given, and the consistency and the asymptotic normality of the estimator were proved.
作者 朱复康 王德辉 李凤翔 李涵
机构地区 吉林大学数学研究所
出处 《吉林大学学报（理学版）》 CAS CSCD 北大核心 2008年第6期1042-1048,共7页 Journal of Jilin University:Science Edition
基金 国家自然科学基金(批准号:10571073)
关键词 渐近性 经验似然 整值ARCH(p)模型 asymptoties empirical likelihood integer-valued ARCH（p） model
分类号 O212.1 [理学—概率论与数理统计]
  • 相关文献

参考文献6

  • 1Ferland R, Latour A, Oraichi D. Integer-valued GARCH Process [ J]. Journal of Time Series Analysis, 2006, 27 (6) : 923 -942.
  • 2Owen A B. Empirical Likelihood Ratio Confidence Intervals for a Single Functional [ J]. Biometrika, 1988, 75 (2) : 237 -249.
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  • 5黄晓薇,宋立新.β-ARCH模型的经验似然推断[J].系统科学与数学,2007,27(1):113-123. 被引量：6
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二级参考文献10

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共引文献5

同被引文献65

  • 1朱复康,王德辉,曹伟.NEAR(p)模型的参数估计[J].吉林大学学报（理学版）,2006,44(6):851-856. 被引量：1
  • 2黄晓薇,宋立新.β-ARCH模型的经验似然推断[J].系统科学与数学,2007,27(1):113-123. 被引量：6
  • 3Owen A B. Empirical Likelihood Ratio Confidence Intervals for a Single Functional [ J]. Biometrika Trust, 1988, 75: 237 -249.
  • 4CHEN Song-xi, Hardle W, LI Ming. An Empirical Likelihood Goodness-of-fit Test for Time Series [ J ]. Journal of Royal Statistical Society: Series B, 2003, 65 (3): 6634578.
  • 5CHEN Song-xi, GAO Ji-ti. An Adaptive Empirical Likelihood Test for Parameteric Time Series Regiession Models [ J ]. Journal of Ecnometrics, 2007, 141(2): 950-972.
  • 6Chuang S H, Chan N H. Empirical Likelihood for Autoregressive Models, with Applications to Unstable Time Series [ J]. Statistica Sinica, 2002, 12: 387-407.
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  • 10Prestley M B. Spectral Analysis and Time Series [ M]. London: Academic Press, 1987.

引证文献7

二级引证文献11

吉林大学学报（理学版）
2008年 第6期

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