带随机参数的AACD模型及其几何遍历性(英文)  

The Random Parameters AACD Models and Their Geometric Ergodicity

作　　者：苗俊红[1] 沈君[1] 

机构地区：[1]海南师范大学数学与统计学院,海口571158

出　　处：《应用概率统计》2014年第6期561-569,共9页Chinese Journal of Applied Probability and Statistics

基　　金：supported by the Natural Science Foundation of Hainan(114005);the Natural Science Foundation of the Hainan High Education Institutions of China(Hjkj2012-19)

摘　　要：在本论文中提出了一类新的AACD模型—带随机参数的AACD模型.带随机参数的AACD模型是AACD模型的拓展,该模型能更好的模拟实际情况,有更广泛的应用领域.并且给出该模型的转移概率,通过转移概率,得到了该模型的一系列概率性质.This paper proposes a new type of random parameters AACD （RPAACD） models, which extends the AACD model. Depending on the state of the price process, the RPAACD models seem to be a valuable alternative to existing approaches and have the better overall performance. We give the transition probability of the process. Moreover by employing the transition probability, we obtain the probability properties of the RPACD model.

关 键 词：AACD模型 马尔可夫链 几何遍历性 

分 类 号：O211.4[理学—概率论与数理统计]