Functional coefficient autoregressive conditional root model
文献类型：期刊论文
| 作者 | Zhou Jianjun1; Chen Min2
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2012 |
| 卷号 | 25期号:5页码:998-1013 |
| 关键词 | NONLINEAR TIME-SERIES REGRESSION-MODELS DIVERGING NUMBER LIKELIHOOD PARAMETERS Ergodicity functional coefficient polynomial spline function |
| ISSN号 | 1009-6124 |
| 其他题名 | FUNCTIONAL COEFFICIENT AUTOREGRESSIVE CONDITIONAL ROOT MODEL |
| 英文摘要 | 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. |
| 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] |
| 语种 | 英语 |
| CSCD记录号 | CSCD:4689994 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/54150]  |
| 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. Functional coefficient autoregressive conditional root model[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2012,25(5):998-1013. |
| APA | Zhou Jianjun,&Chen Min.(2012).Functional coefficient autoregressive conditional root model.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,25(5),998-1013. |
| MLA | Zhou Jianjun,et al."Functional coefficient autoregressive conditional root model".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 25.5(2012):998-1013. |
入库方式： OAI收割
来源：数学与系统科学研究院
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