| $beta$-ARCH模型的经验似然推断 |
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| 引用本文： | 黄晓薇(),宋立新(). $beta$-ARCH模型的经验似然推断[J]. 系统科学与数学, 2007, 27(1): 113-123 |
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| 作者姓名： | 黄晓薇() 宋立新() |
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| 作者单位： | 对外经济贸易大学金融学院，大连理工大学应用数学系 北京 100029，大连 116024 |
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| 摘 要： | 研究β-ARCH模型的经验似然估计及相应似然比统计量的渐近性质,证得了相合性和极限分布．
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| 关 键 词： | β-ARCH模型 经验似然 相合性 渐近正态性 |
| 收稿时间： | 2006-09-23 |
| 修稿时间： | 2006-09-23 |
EMPIRICAL LIKELIHOOD INFERENCE ABOUT $beta-$ARCH MODEL |
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| Huang Xiaowei,Song Lixin. EMPIRICAL LIKELIHOOD INFERENCE ABOUT $beta-$ARCH MODEL[J]. Journal of Systems Science and Mathematical Sciences, 2007, 27(1): 113-123 |
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| Authors: | Huang Xiaowei Song Lixin |
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| Affiliation: | (1)School of Finance, University of International Business and Economics, Beijing 100029;(2)Department of Applied Mathematics, Dalian University of Technology, Dalian 116024 |
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| Abstract: | This paper considers the asymptotic properties of the empirical likelihood and its likelihood ratio statistic about $beta-$ARCH model, and obtains the consistency and the limit distribution. |
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| Keywords: | $beta-$ARCH empirical likelihood consistency asymptotic normality |
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