高维ARCH(q)模型噪声密度函数的估计

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高维ARCH(q)模型噪声密度函数的估计

黄晓薇, 王德辉，宋立新

吉林大学数学学院, 长春 130012

收稿日期:2003-04-29 修回日期:1900-01-01 出版日期:2004-04-26 发布日期:2004-04-26
通讯作者: 宋立新

Estimation of noise's density function in multivariate ARCH(q) model

HUANG Xiao-wei, WANG De-hui, SONG Li-xin

College of Mathematics, Jilin University, Changchun 130012, China

Received:2003-04-29 Revised:1900-01-01 Online:2004-04-26 Published:2004-04-26
Contact: SONG Li-xin

摘要/Abstract

摘要： 采用核密度估计方法对高维ARCH(q)噪声的密度函数进行估计, 给出此估计的相合性和随机模拟结果, 并用该方法对深沪股市数据进行了分析 .

关键词: 高维ARCH(q)模型, 拟似然估计, 核密度估计

Abstract: The present paper is proposed a method to estimate the density function of the noise in the vector ARCH(q) model by means of kernel estimation. The consistency of the estimator and the simulation results are presented. Furthermore, as the application of thismethod, we have analyzed the data of Shenzhen and Shanghai stockmarket.

Key words: vector ARCH(q) model, quasi-maximum likelihood estimation, kernel estimation

中图分类号:

O211.4

黄晓薇, 王德辉，宋立新. 高维ARCH(q)模型噪声密度函数的估计[J]. J4, 2004, 42(02): 151-157.

HUANG Xiao-wei, WANG De-hui, SONG Li-xin. Estimation of noise's density function in multivariate ARCH(q) model[J]. J4, 2004, 42(02): 151-157.

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