| 序约束下AR(p)-ARCH(q)模型参数的估计与检验 |
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| 引用本文： | 王德辉,宋立新,史宁中.序约束下AR(p)-ARCH(q)模型参数的估计与检验[J].东北数学,2005,21(4):475-491. |
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| 作者姓名： | 王德辉 宋立新 史宁中 |
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| 作者单位： | Institute of Mathematics Jilin University，Changchun，130012，Institute of Mathematics，Jilin University，Changchun，130012，Department of Mathematics，Northeast Normal University，Changchun，130021 |
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| 基金项目： | The NNSF (10271049) of China. |
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| 摘 要： | In this paper, we study a stationary AR(p)-ARCH(q) model with parameter vectors a and β. We propose a method for computing the maximum likelihood estimator (MLE) of parameters under the nonnegative restriction. A similar method is also proposed for the case that the parameters are restricted by a simple order: α1≥α2≥…≥αq, andβ1≥β2≥…βp. The strong consistency of the above two estimators is discussed. Furthermore, we consider the problem of testing homogeneity of parameters against the simple order restriction. We give the likelihood ratio (LR) test statistic for the testing problem and derive its asymptotic null distribution.
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| 关 键 词： | AR（p）-ARCH（q）模型 最大似然估计 渐进线性质 参数向量 |
Estimation and Testing for the Parameters of AR(p)-ARCH(q) under Ordered Restriction |
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| WANG De-hui,SONG Li-xin,SHI Ning-zhong.Estimation and Testing for the Parameters of AR(p)-ARCH(q) under Ordered Restriction[J].Northeastern Mathematical Journal,2005,21(4):475-491. |
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| Authors: | WANG De-hui SONG Li-xin SHI Ning-zhong |
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| Institution: | [1]Institute of Mathematics, Jilin University, Changchun, 130012 [2]Department of Mathematics, Northeast Normal University, Changchun, 130021 |
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| Abstract: | |
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| Keywords: | AR(p)-ARCH(q) model ordered restriction maximum likelihood estimator asymptotic properties quadratic program |
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