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ARCH、GARCH模型参数估计样本分布的Monte Carlo研究
吴国富1; 吕有2; 孙传忠1
1998
Source Publication数理统计与应用概率
Volume000Issue:003Pages:273
Abstract本文使用MonteCarlo方法对常用的ARGARCH一类模型的样本分布性质进行了讨论.重点讨论了在小样本条件下AR(1)GARCH(1,1)模型与通常模型参数估计分布性质及预测精度;使用序贯数论优划(SNTO)算法与使用BHHH算法对AR(1)GARCH(1,1)模型估计结果的优劣比较;K-S统计量检验方法与常用的LM统计量有效性的比较.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/48293
Collection中国科学院数学与系统科学研究院
Affiliation1.中国科学院数学与系统科学研究院
2.吉林大学
Recommended Citation
GB/T 7714
吴国富,吕有,孙传忠. ARCH、GARCH模型参数估计样本分布的Monte Carlo研究[J]. 数理统计与应用概率,1998,000(003):273.
APA 吴国富,吕有,&孙传忠.(1998).ARCH、GARCH模型参数估计样本分布的Monte Carlo研究.数理统计与应用概率,000(003),273.
MLA 吴国富,et al."ARCH、GARCH模型参数估计样本分布的Monte Carlo研究".数理统计与应用概率 000.003(1998):273.
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