functionalcoefficientautoregressiveconditionalrootmodel

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	functionalcoefficientautoregressiveconditionalrootmodel
	Zhou Jianjun 1; Chen Min2
	2012
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	25 期号:5 页码:998
摘要	This paper proposes an extended model based on ACR model: Functional coefficient autoregressive conditional root model (FCACR). Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence O (p) (h (nu+1) + n (-1/3)). By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.
语种	英语
资助项目	[National Nature Science Foundation of China] ; [Ph.D. Special Scientific Research Foundation of Chinese University] ; [Key Fund of Yunnan Province] ; [Fundamental Research Funds for the Central Universities] ; [Research Funds of Renmin University of China]
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/43167
专题	应用数学研究所
作者单位	1.云南大学 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Zhou Jianjun,Chen Min. functionalcoefficientautoregressiveconditionalrootmodel[J]. journalofsystemsscienceandcomplexity,2012,25(5):998.
APA	Zhou Jianjun,&Chen Min.(2012).functionalcoefficientautoregressiveconditionalrootmodel.journalofsystemsscienceandcomplexity,25(5),998.
MLA	Zhou Jianjun,et al."functionalcoefficientautoregressiveconditionalrootmodel".journalofsystemsscienceandcomplexity 25.5(2012):998.