金融时间序列中同积向量的充分改进最小二乘估计研究

A Study on Substantial Improvement of Least Square Estimation of Co-integrating Vector in Financial Time Series

以金融时间序列中同积向量的充分改进为对象,分析充分改进的最小二乘估计。在统计量的极限分布非标准时,构造充分改进的最小二乘估计。研究表明,改进的最小二乘估计方法是一种非参数方法,有助于充分的最小二乘估计。

Taking the substantial improvement of co-integrating vector in the financial time se-quence as research object,the author of this paper analyzes substantial improved least square esti-mation and constructs the substantial improved least square when the limit distribution is non-standard in statistics.The study shows that improved least square estimation is a non-parameter method that is conducive to least square estimation.