向量乘积误差模型似然估计初值选取

The Selection of Initial Value for Vector Multiplicative Error Model

文章针对VMEM似然估计初值选取问题展开讨论。依据现有的理论方法,提供了两种估计初值的方法:矩估计和迭代ACD估计,利用两种方法得到的初值在给定的条件下都具有一致性,为VMEM参数似然估计初值选取提供重要依据。

The selection of initial value for vector muhiplicative error model （VMEM） plays an important role in the process of the likelihood estimation.This paper mainly focuses on the initial value selection and provides two kinds of method, namely moment estimation and iterative ACD estimation. Under given conditions, the obtained initial value is consistent. This method provides an important basis and the reference for the VMEM parameter estimation.