| 变系数ARCH模型绝对值序列的强大数定律 |
| |
| 引用本文： | 张志强,冯井艳.变系数ARCH模型绝对值序列的强大数定律[J].应用概率统计,2009,25(3):275-280. |
| |
| 作者姓名： | 张志强 冯井艳 |
| |
| 作者单位： | 山西大同大学数学系,大同,037009 |
| |
| 基金项目： | 山西省自然科学基金项目，山西大同大学科研项目 |
| |
| 摘 要： | 本文提出一种新的模型: 变系数ARCH模型, 其中系数是时间变量的函数. 这与在不同的时间区间上拟和模型时系数是不同的这一事实是相符的. 所以这一模型更符合实际, 更合理. 由于系数是时间变量的函数, 所以这一模型有许多潜在的优点, 它更具有灵活性. 在本文中我们主要研究变系数ARCH模型绝对值序列的强大数定律.
|
| 关 键 词： | 变系数 ARCH 强大数定律. |
Strong Law of Large Numbers of Absolute Value Sequences from Varying-Coefficient ARCH Models |
| |
| ZHANG ZHIQIANG,FENG JINGYAN.Strong Law of Large Numbers of Absolute Value Sequences from Varying-Coefficient ARCH Models[J].Chinese Journal of Applied Probability and Statisties,2009,25(3):275-280. |
| |
| Authors: | ZHANG ZHIQIANG FENG JINGYAN |
| |
| Institution: | Department of Mathematics, Shanxi Datong University |
| |
| Abstract: | In this paper we introduce a varying-coefficient ARCH model in which the model coefficient is a function of time variable $t$. It is consistent with the fact that the coefficients are different in different time intervals in modeling, so this kindof model is more reasonable. We believe that the varying-coefficient ARCH model has several potential advantages for practical uses, it is more flexible. Here we discuss the strong law of large numbers of absolute value sequences from varying-coefficient ARCH models. |
| |
| Keywords: | ARCH |
| 本文献已被 维普 万方数据 等数据库收录！ |
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
| 点击此处可从《应用概率统计》下载免费的PDF全文 |
|
