β-ARCH模型的经验似然推断

黄晓薇;宋立新

系统科学与数学 ›› 2007, Vol. 27 ›› Issue (1) : 113-123.

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PDF(361 KB)
系统科学与数学 ›› 2007, Vol. 27 ›› Issue (1) : 113-123. DOI: 10.12341/jssms08734
论文

β-ARCH模型的经验似然推断

    黄晓薇(1),宋立新(2)

作者信息 +

EMPIRICAL LIKELIHOOD INFERENCE ABOUT βARCH MODEL

    Huang Xiaowei(1),Song Lixin(2)

Author information +
文章历史 +

摘要

研究βARCH模型的经验似然估计及相应似然比统计量的渐近性质,证得了相合性和极限分布.

Abstract

This paper considers the asymptotic properties of the empirical likelihood and its likelihood ratio statistic about βARCH model, and obtains the consistency and the limit distribution.

关键词

βARCH模型 / 经验似然 / 相合性 / 渐近正态性

Key words

βARCH / empirical likelihood / consistency / asymptotic normality

引用本文

导出引用
黄晓薇 , 宋立新. β-ARCH模型的经验似然推断. 系统科学与数学, 2007, 27(1): 113-123. https://doi.org/10.12341/jssms08734
Huang Xiaowei , Song Lixin. EMPIRICAL LIKELIHOOD INFERENCE ABOUT βARCH MODEL. Journal of Systems Science and Mathematical Sciences, 2007, 27(1): 113-123 https://doi.org/10.12341/jssms08734
中图分类号: 62F12    62F05   
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