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设{X_n=(X_(1n),X_(2n),…,X_(mn),≥1}是i.i.d.的m维随机向量序列,Z_(in)=max{X_(i1),X_(i2),…,X_(in)},W_(in)=min{X_(i1),X_(i2),…,X_(in)},1≤i≤m,Z_n=(Z_(1n),Z_(2n),…,Z_(mn)),W_n=(W_(1n),W_(2n)…,W_(mn)).本文得出了W_n与Z_n渐近独立的充分必要条件. 相似文献
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1 IlltroductionThe concept of ARCH, which stands for autoregressit,e conditional heteroscedasticity wasfrist introduced by EngelI1J to handIe time series with a changing conditional tariance.Bollersle.I2] extended the ARCH model into the sChcalled generalized autoregressive con-ditional heteroscedastic model(GARCH). This class of models has important applitalions,particularly in finance and economics(see, e.g., [3], [4]). Lingl5] found some simple sufficientconditions fOr the strict st… 相似文献
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研究了几何Levy过程中,具有代表性的一类过程-方差Gamma过程下的等价鞅测度类问题,并且讨论了其具有的分析性质.进一步,我们也考虑了基于该过程的普通期权的定价. 相似文献
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In this paper,by making use of the Hadamard product of matrices,a natural and reasonable generalization of the univariate GARCH(Generalized Autoregressive Conditional heteroscedastic)process introduced by Bollerslev(J.Econometrics 31(1986),307-327)to the multivariate case is proposed.The conditions for the existence of strictly stationary and ergodic solutions and the existence of higher order moments for this class of parametric models are derived. 相似文献
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