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Article: Stationary solution and parametric estimation for Bilinear model driven by ARCH noises
Title | Stationary solution and parametric estimation for Bilinear model driven by ARCH noises |
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Authors | |
Keywords | Arch Bilinear Model Maximum Likelihood Estimation Stationary Solution |
Issue Date | 2002 |
Publisher | Science in China Press. The Journal's web site is located at http://www.scichina.com:8081/sciAe/EN/volumn/current.shtml |
Citation | Science In China, Series A: Mathematics, Physics, Astronomy, 2002, v. 45 n. 12, p. 1523-1537 How to Cite? |
Abstract | Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm. |
Persistent Identifier | http://hdl.handle.net/10722/172395 |
ISSN | 2011 Impact Factor: 0.701 |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Pan, J | en_US |
dc.contributor.author | Li, G | en_US |
dc.contributor.author | Xie, Z | en_US |
dc.date.accessioned | 2012-10-30T06:22:19Z | - |
dc.date.available | 2012-10-30T06:22:19Z | - |
dc.date.issued | 2002 | en_US |
dc.identifier.citation | Science In China, Series A: Mathematics, Physics, Astronomy, 2002, v. 45 n. 12, p. 1523-1537 | en_US |
dc.identifier.issn | 1006-9283 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172395 | - |
dc.description.abstract | Bilinear model driven by ARCH (1) noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm. | en_US |
dc.language | eng | en_US |
dc.publisher | Science in China Press. The Journal's web site is located at http://www.scichina.com:8081/sciAe/EN/volumn/current.shtml | en_US |
dc.relation.ispartof | Science in China, Series A: Mathematics, Physics, Astronomy | en_US |
dc.subject | Arch | en_US |
dc.subject | Bilinear Model | en_US |
dc.subject | Maximum Likelihood Estimation | en_US |
dc.subject | Stationary Solution | en_US |
dc.title | Stationary solution and parametric estimation for Bilinear model driven by ARCH noises | en_US |
dc.type | Article | en_US |
dc.identifier.email | Li, G: gdli@hku.hk | en_US |
dc.identifier.authority | Li, G=rp00738 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-0036917925 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0036917925&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 45 | en_US |
dc.identifier.issue | 12 | en_US |
dc.identifier.spage | 1523 | en_US |
dc.identifier.epage | 1537 | en_US |
dc.publisher.place | China | en_US |
dc.identifier.scopusauthorid | Pan, J=7404098864 | en_US |
dc.identifier.scopusauthorid | Li, G=52563850500 | en_US |
dc.identifier.scopusauthorid | Xie, Z=7402267016 | en_US |