GSA-based maximum likelihood estimation for threshold vector error correction model
文献类型：期刊论文
| 作者 | Yang, Zheng; Tian, Zheng; Yuan, Zixia |
| 刊名 | COMPUTATIONAL STATISTICS & DATA ANALYSIS
 |
| 出版日期 | 2007-09-15 |
| 卷号 | 52期号:1页码:109-120 |
| 关键词 | threshold vector error correction model maximum likelihood estimation genetic-simulated annealing |
| 英文摘要 | The log-likelihood function of threshold vector error correction models is neither differentiable, nor smooth with respect to some parameters. Therefore, it is very difficult to implement maximum likelihood estimation (MLE) of the model. A new estimation method, which is based on a hybrid algorithm and MLE, is proposed to resolve this problem. The hybrid algorithm, referred to as genetic-simulated annealing, not only inherits aspects of genetic-algorithms (GAs), but also avoids premature convergence by incorporating elements of simulated annealing (SA). Simulation experiments demonstrate that the proposed method allows to estimate the parameters of larger cointegrating systems. Additionally, numerical results show that the hybrid algorithm does a better job than either SA or GA alone. (c) 2007 Elsevier B.V. All rights reserved. |
| WOS标题词 | Science & Technology ; Technology ; Physical Sciences |
| 类目[WOS] | Computer Science, Interdisciplinary Applications ; Statistics & Probability |
| 研究领域[WOS] | Computer Science ; Mathematics |
| 关键词[WOS] | COINTEGRATION ; ALGORITHM |
| 收录类别 | SCI |
| 语种 | 英语 |
| WOS记录号 | WOS:000249912400009 |
| 公开日期 | 2015-12-24 |
| 源URL | [http://ir.ia.ac.cn/handle/173211/9406]  |
| 专题 | 自动化研究所_09年以前成果 |
| 作者单位 | 1.Northwestern Polytech Univ, Dept Appl Math, Xian 710072, Peoples R China 2.Chinese Acad Sci, Inst Automat, Natl Key Lab Pattern Recognit, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yang, Zheng,Tian, Zheng,Yuan, Zixia. GSA-based maximum likelihood estimation for threshold vector error correction model[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2007,52(1):109-120. |
| APA | Yang, Zheng,Tian, Zheng,&Yuan, Zixia.(2007).GSA-based maximum likelihood estimation for threshold vector error correction model.COMPUTATIONAL STATISTICS & DATA ANALYSIS,52(1),109-120. |
| MLA | Yang, Zheng,et al."GSA-based maximum likelihood estimation for threshold vector error correction model".COMPUTATIONAL STATISTICS & DATA ANALYSIS 52.1(2007):109-120. |
入库方式： OAI收割
来源：自动化研究所
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