| 多维GARCH模型的半参数有效估计 |
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| 引用本文： | 王传美,童恒庆.多维GARCH模型的半参数有效估计[J].应用数学,2005,18(2):260-264. |
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| 作者姓名： | 王传美 童恒庆 |
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| 作者单位： | 武汉理工大学数学系,武汉,430070 |
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| 基金项目： | 国家自然科学基金资助项目(99027),湖北省软科学研究项目(2001P2603) |
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| 摘 要： | 多元GARCH模型的估计一般采用拟极大似然法(quasi maximum likehood),对于这种方法估计的相合性及渐近正态性已经被很多学者证实,然而对于新息列的分布不是多元正态时,这种估计的有效性还没人研究,本文从拟极大似然估计得到的参数相合估计入手,提出用非参数方法估计多元新息列的分布.
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| 关 键 词： | 多元GARCH模型 半参数方法 有效估计 |
| 文章编号： | 1001-9847(2005)02-0260-05 |
| 修稿时间： | 2004年3月2日 |
Semiparametric Multivariate GARCH Models |
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| WANG Chuan-mei,TONG Heng-qing.Semiparametric Multivariate GARCH Models[J].Mathematica Applicata,2005,18(2):260-264. |
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| Authors: | WANG Chuan-mei TONG Heng-qing |
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| Abstract: | Estimation of multivariate GARCH models is usually car ri ed out by quasi maximum likehood (QMLE),for which recently consistency and asymp totic normality have been proven under quite general conditions.However,there ar e to date no results on the efficiency loss of QMLE if the true innovation distr ibution is not multinormal.We investigate this issue by suggesting a nonparametr ic estimation of the multivariate innovation distribution,based on consistent pa rameter estimates obtained by QMLE.We give conditions under which the semiparame tric efficiency bound can be attained. |
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| Keywords: | Multivariate GARCH models Semiparametric methods Efficie nt estimation |
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