FUNCTIONAL COEFFICIENT AUTOREGRESSIVE CONDITIONAL ROOT MODEL  

作　　者：Jianjun ZHOU Min CHEN 

机构地区：[1]School of Mathematics and Statistics,Yunnan University [2]Academy of Mathematics and Systems Science,Chinese Academy of Sciences

出　　处：《Journal of Systems Science & Complexity》2012年第5期998-1013,共16页系统科学与复杂性学报（英文版）

基　　金：supported by the National Nature Science Foundation of China under Grant Nos.10961026, 11171293,71003100,70221001,70331001,and 10628104;the Ph.D.Special Scientific Research Foundation of Chinese University under Grant No.20115301110004;Key Fund of Yunnan Province under Grant No.2010CC003;the Fundamental Research Funds for the Central Universities;the Research Funds of Renmin University of China under Grant No.11XNK027

摘　　要：This paper proposes an extended model based on ACR nmdel： Functional coefficient autoregressive conditional root model （FCACR）. Under some assumptions, the authors show that the process is geometrically ergodic, stationary and all moments of the process exist. The authors use the polynomial spline function to approximate the functional coefficient, and show that the estimate is consistent with the rate of convergence Op（hv＋1 ＋ n-1/3）. By simulation study, the authors discover the proposed method can approximate well the real model. Furthermore, the authors apply the model to real exchange rate data analysis.

关 键 词：ERGODICITY functional coefficient polynomial spline function. 

分 类 号：O212.1[理学—概率论与数理统计]