This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularit...This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.展开更多
In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary Ф-mixing sequence. The results are applied to study many d...In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary Ф-mixing sequence. The results are applied to study many different types of M-estimators such as Huber＇s estimator, L^P-regression estimator, least squares estimator and least absolute deviation estimator.展开更多
Navigation message designing with high accuracy guarantee is the key to efficient navigation message distribution in the global navigation satellite system（GNSS）. Developing high accuracy-aware navigation message de...Navigation message designing with high accuracy guarantee is the key to efficient navigation message distribution in the global navigation satellite system（GNSS）. Developing high accuracy-aware navigation message designing algorithms is an important topic. This paper investigates the high-accuracy navigation message designing problem with the message structure unchanged.The contributions made in this paper include a heuristic that employs the concept of the estimated range deviation（ERD） to improve the existing well-known navigation message on L1 frequency（NAV） of global positioning system（GPS） for good accuracy service; a numerical analysis approximation method（NAAM） to evaluate the range error due to truncation（RET） of different navigation messages; and a basic positioning parameters designing algorithm in the limited space allocation. Based on the predicted ultra-rapid data from the ultra-rapid data from the international GPS service for geodynamic（IGU）, ERDs are generated in real time for error correction.Simulations show that the algorithms developed in this paper are general and flexible, and thus are applicable to NAV improvement and other navigation message designs.展开更多
基金Supported by the National Natural Science Foundation of China(No.70221001,No.70331001,No.10628104)the National Basic Research Program of China(973Program)(No.2007CB814902)+4 种基金Min Chen's work was supported by a grant from the Major State Basic Research Development Program of China(973 Program)(No. 2007CB14902)the National High Technology Research and Development Program of China(863 Program)(No. 2007AA12Z04)public-spirited Program of the Ministry of Water Resources of the People's Republic of China (No.200801027)the National Natural Science Foundation of China(No.10721101)Key Laboratory of Random Complex Structures and Data Science,Academy of Mathematics&Systems Science,Chinese Academy of Sciences(No.2008DP173182)
文摘This paper studies the least absolute deviation estimation of the high frequency financial autoregressive conditional duration （ACD） model. The asymptotic properties of the estimator are studied given mild regularity conditions. Furthermore, we develop a Wald test statistic for the linear restriction on the parameters. A simulation study is conducted for the finite sample properties of our estimator. Finally, we give an empirical study of financial duration.
基金Supported by National Natural Science Foundation of China (Grant Nos. 10871153 and 10971047)
文摘In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary Ф-mixing sequence. The results are applied to study many different types of M-estimators such as Huber＇s estimator, L^P-regression estimator, least squares estimator and least absolute deviation estimator.
基金supported by the National Basic Research Program of China(No.2010CB731805)
文摘Navigation message designing with high accuracy guarantee is the key to efficient navigation message distribution in the global navigation satellite system（GNSS）. Developing high accuracy-aware navigation message designing algorithms is an important topic. This paper investigates the high-accuracy navigation message designing problem with the message structure unchanged.The contributions made in this paper include a heuristic that employs the concept of the estimated range deviation（ERD） to improve the existing well-known navigation message on L1 frequency（NAV） of global positioning system（GPS） for good accuracy service; a numerical analysis approximation method（NAAM） to evaluate the range error due to truncation（RET） of different navigation messages; and a basic positioning parameters designing algorithm in the limited space allocation. Based on the predicted ultra-rapid data from the ultra-rapid data from the international GPS service for geodynamic（IGU）, ERDs are generated in real time for error correction.Simulations show that the algorithms developed in this paper are general and flexible, and thus are applicable to NAV improvement and other navigation message designs.
