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Poisson ARCH(1)过程的中偏差及其应用 被引量：2

Moderate Deviation Princilie and Its Application for Poisson ARCH(1)Process
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摘要 给出Poisson ARCH(1)过程的中偏差存在形式,并将Poisson ARCH(1)过程应用到一个离散风险模型中,利用获得的中偏差结果,对其有限破产概率进行了渐近等价估算. The author provided the exact forms of moderate deviation for the Poisson ARCH（1）process.In addition,the author used Poisson ARCH（1）process to model the claim frequency in the risk model.With the help of moderate deviation result,the author derived the uniform asymptotic formula for the finite-time ruin probability.
作者 宇世航
机构地区 齐齐哈尔大学理学院
出处 《吉林大学学报（理学版）》 CAS CSCD 北大核心 2015年第5期921-924,共4页 Journal of Jilin University:Science Edition
基金 国家自然科学基金(批准号:11271155) 黑龙江省科技公关项目(批准号:GC13D305)
关键词 POISSON ARCH(1)过程 中偏差 有限破产概率 Poisson ARCH（1）process moderate deviation principle finite-time ruin probability
分类号 O212.7 [理学—概率论与数理统计]
  • 相关文献

参考文献10

  • 1Streett S. Some Observation Driven Models for Time Series of Counts[D]. Fort Collins: Colorado State University, 2000.
  • 2Ferland R, Latour A, Oraichi D. Integer-Valued GARCH Process[J].Journal of Time Series Analysis, 2006, 27( 6): 923-942.
  • 3朱复康,王德辉,李凤翔,李涵.一个整值ARCH(p)模型的经验似然推断[J].吉林大学学报（理学版）,2008,46(6):1042-1048. 被引量：7
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二级参考文献6

  • 1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
  • 2Ferland R, Latour A, Oraichi D. Integer-valued GARCH Process [ J]. Journal of Time Series Analysis, 2006, 27 (6) : 923 -942.
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共引文献6

同被引文献13

  • 1Davis R A, Dunsmuir W T M, Streett S B. Observation-Driven Models for Poisson Counts[J]. Biometrika, 2003. 90(4): 777-790.
  • 2Ferland R. Latour A, Oraichi D. Integer-Valued GARCH Process[J].Journal of Time Series Analysis, 2006. 27(6): 923-942.
  • 3Fokianos K. Tjstheim D. Log-Linear Poisson Autoregression[J].Journal of Multivariate Analysis, 2011, 102(3): 563-578.
  • 4Fokianos K, THstheim D. Nonlinear Poisson Autoregression[J]. Annals of the Institute of Statistical Mathematics. 2012, 64(6): 1205-1225.
  • 5Fokianos K. Rahbek A, Tje stheim D. Poisson Autoregression[J].Journal of the American Statistical Association. 2009. 104(488): 1430-1439.
  • 6WANG Chao, LIU Heng, YAOJianfeng, et al. Self-excited Threshold Poisson Autoregression[J].Journal of the American Statistical Association, 2014, 109(506): 777-787.
  • 7Duflo M. Random Iterative Models[M]. New York: Springer. 1997.
  • 8Press W H, Teukolsky S A. Vetterling W T, et al. Numerical Recipes: The Art of Scientific Computing[M]. 3rd ed. Cambridge: Cambridge University Press. 2007.
  • 9朱复康,王德辉,李凤翔,李涵.一个整值ARCH(p)模型的经验似然推断[J].吉林大学学报（理学版）,2008,46(6):1042-1048. 被引量：7
  • 10朱复康,李琦.INGARCH(1,1)模型参数的矩估计和Bayes估计[J].吉林大学学报（理学版）,2009,47(5):899-902. 被引量：5

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二级引证文献1

吉林大学学报（理学版）
2015年 第5期

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