具有重尾或异方差误差的双变量预测回归模型的中位无偏估计 Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

按检索

具有重尾或异方差误差的双变量预测回归模型的中位无偏估计

引用本文：	朱复康,王德军.具有重尾或异方差误差的双变量预测回归模型的中位无偏估计[J].东北数学,2007,23(3).

作者姓名：	朱复康王德军

基金项目：	国家自然科学基金 , 吉林大学校科研和教改项目

摘要：
Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors

ZHU Fu-kang,WANG De-hui.Median Unbiased Estimation of Bivariate Predictive Regression Models with Heavy-tailed or Heteroscedastic Errors[J].Northeastern Mathematical Journal,2007,23(3).

Authors:	ZHU Fu-kang WANG De-hui

Abstract:	In this paper, we consider median unbiased estimation of bivariate predictive regression models with non-normal, heavy-tailed or heterescedastic errors. We construct confidence intervals and median unbiased estimator for the parameter of interest. We show that the proposed estimator has better predictive potential than the usual least squares estimator via simulation. An empirical application to finance is given. And a possible extension of the estimation procedure to cointegration models is also described.

Keywords:	bivariate predictive regression model heavy-tailed error median unbiased estimation
本文献已被万方数据等数据库收录！