一个整值ARCH(p)模型的经验似然推断  

Empirical Likelihood Inference for an Integer-valued ARCH(p) Model

作　　者：朱复康[1] 王德辉[1] 李凤翔[1] 李涵[1] 

机构地区：[1]吉林大学数学研究所,长春130012

出　　处：《吉林大学学报（理学版）》2008年第6期1042-1048,共7页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:10571073)

摘　　要：研究整值ARCH(p)模型的经验似然推断.利用经验似然方法,给出了模型参数的最大经验似然估计,并证明了估计量的相合性和渐近正态性.Empirical likelihood inference for an integer-valued ARCH （p） model was studied. Empirical likelihood method was introduced, then the maximum empirical likelihood estimation of the model parameters was given, and the consistency and the asymptotic normality of the estimator were proved.

关 键 词：渐近性 经验似然 整值ARCH(p)模型 

分 类 号：O212.1[理学—概率论与数理统计]