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Convergence of Self-Tuning Regulators under Conditional Heteroscedastic Noises with Unknown High-Frequency Gain 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 15
作者:  Zhang, Yaqi;  Guo, Lei
收藏  |  浏览/下载：144/0  |  提交时间：2021/01/14
ARCH model  conditional heteroscedasticity  convergence  self-tuning regulator  weighted least-squares algorithm  
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations 期刊论文
JOURNAL OF ECONOMETRICS, 2015, 卷号: 189, 期号: 2, 页码: 313-320
作者:  Chen, Min;  Zhu, Ke
收藏  |  浏览/下载：158/0  |  提交时间：2018/07/30
ARCH-type model  Heavy-tailed innovation  LAD estimator  Model diagnostics  Sign-based portmanteau test  
LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2015, 卷号: 110, 期号: 510, 页码: 784-794
作者:  Zhu, Ke;  Ling, Shiqing
收藏  |  浏览/下载：115/0  |  提交时间：2018/07/30
ARMA(p, q) models  Asymptotic normality  G/ARCH noises  Heavy-tailed noises  LADE  Random weighting approach  Self-weighted LADE  Sign-based portmanteau test  Strong consistency  
LARGE TIME BEHAVIOR AND QUASINEUTRAL LIMIT OF SOLUTIONS TO A BIPOLAR HYDRODYNAMIC MODEL WITH LARGE DATA AND VACUUM 期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS, 2009, 卷号: 24, 期号: 2, 页码: 455-470
作者:  Huang, Feimin;  Li, Yeping
收藏  |  浏览/下载：124/0  |  提交时间：2018/07/30
Bipolar hydrodynamic model  large time behavior  quasineutral limit  entropy solution  energy estimates  
A simple multivariate ARCH model specified by random coefficients 期刊论文
COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2006, 卷号: 51, 期号: 3, 页码: 1779-1802
作者:  Fong, P. W.;  Li, W. K.;  An, Hong-Zhi
收藏  |  浏览/下载：93/0  |  提交时间：2018/07/30
likelihood ratio test  maximum likelihood estimation  multivariate autoregressive conditional heteroscedasticity  nonconstant correlation  random coefficient model  Hadamard product  star product  
Modelling subset multivariate ARCH model via the AIC principle 期刊论文
SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY, 2002, 卷号: 45, 期号: 9, 页码: 1089-1099
作者:  An, HZ;  Fong, PW;  Li, WK
收藏  |  浏览/下载：103/0  |  提交时间：2018/07/30
AIC principle  BIC  multivariate ARCH model  subset model  
Asymptotics for partly linear regression with dependent samples and ARCH errors: consistency with rates 期刊论文
SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY, 2001, 卷号: 44, 期号: 2, 页码: 168-183
作者:  Lu, ZD;  Gijbels, I
收藏  |  浏览/下载：112/0  |  提交时间：2018/07/30
ARCH (GARCH) errors  dependent samples  local polynomial fitting  convergence rates  partly linear model  root-n consistency  
L-1 geometric ergodicity of a multivariate nonlinear AR model with an ARCH term 期刊论文
STATISTICS & PROBABILITY LETTERS, 2001, 卷号: 51, 期号: 2, 页码: 121-130
作者:  Lu, ZD;  Jiang, ZY
收藏  |  浏览/下载：94/0  |  提交时间：2018/07/30
autoregression  conditional heteroscedasticity  L-1 geometric ergodicity  Markov chain  multivariate AR-ARCH (CHARN) model  
Zero relaxation limit for piecewise smooth solutions to a rate-type viscoelastic system in the presence of shocks 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2000, 卷号: 252, 期号: 1, 页码: 298-324
作者:  Li, HL;  Pan, RH
收藏  |  浏览/下载：99/0  |  提交时间：2018/07/30
piecewise smooth solution  viscoelasticity  matched asymptotic analysis  zero relaxation limit  
On the geometric ergodicity of a non-linear autoregressive model with an autoregressive conditional heteroscedastic term 期刊论文
STATISTICA SINICA, 1998, 卷号: 8, 期号: 4, 页码: 1205-1217
作者:  Lu, ZD
收藏  |  浏览/下载：101/0  |  提交时间：2018/07/30
autoregression  beta-ARCH(p)  conditional heteroscedasticity  geometric ergodicity  Markov chain  nonlinear AR model with ARCH term