期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

基于稳定分布的AR(1)模型的单位根检验

在线阅读 下载PDF
导出
摘要 本文考虑误差项为稳定分布的一阶自回归过程Yt=βYt-1+∈t(t=1,2,...,N)的单位根检验,其中t是服从稳定分布的随机误差,β是自回归参数.若β=1成立,则当N→∞时,N(bN-1)的极限分布可表示为Lévy过程的一个泛函形式,其中bN为β的最小二乘估计.因为该形式不依赖于除特征指数α以外的多余参数,可把N(bN-1)作为检验原假设H0:β=1的检验统计量.Chan和Tran(1989)通过直接模拟N(bN-1),给出N(bN-1)的经验分位数表.但N(bN-1)的取值与Yt有关,给使用带来影响.本文构造了一个与Yt的取值无关的随机变量EN,n,证明了EN,n与N(bN-1)有相同的极限分布.通过模拟EN,n,得到N(bN-1)的经验分位数表.最后,通过三个数值例子说明了方法的有效性.
作者 盛子宁 林倍羽 张世斌
机构地区 上海海事大学数学系
出处 《应用概率统计》 CSCD 北大核心 2013年第4期443-448,共6页 Chinese Journal of Applied Probability and Statistics
基金 国家自然科学基金(10901100)资助
关键词 一阶自回归 单位根检验 稳定分布 重尾分布 经验分位数
分类号 O212.3 [理学—概率论与数理统计]
  • 相关文献

参考文献11

  • 1Hannan, E.J. and Kanter, M., Autoregressive processes with infinite variance, Journal of AppliedProbability, 14(2)(1977), 411—415.
  • 2DuMouchel, W.H., Estimating the stable index a in order to measure tail thickness: a critique, TheAnnals of Statistics, 11(4)(1983), 1019-1031.
  • 3McCulloch, J.H., Continuous time processes with stable increments, The Journal of Business,5(4)(1978), 601-619.
  • 4Knight, K., Rate of convergence of centred estimates of autoregressive parameters for infinite varianceautoregressions, Journal of Time Series Analysis, 8(1)(1987), 51-60.
  • 5武东,汤银才.稳定分布及其在金融中的应用[J].应用概率统计,2007,23(4):434-445. 被引量：13
  • 6Shin, D.W. and So, B.S., New tests for unit roots in autoregressive processes with possibly infinitevariance errors, Statistics and Probability Letters, 44(4)(1999), 387-397.
  • 7Chan, N.H. and Tran, L.T., On the first-order autoregressive process with infinite variance, Econo-metric Theory, 5(3)(1989), 354-362.
  • 8Chambers, J.M., Mallows, C.L. and Stuck, B.W.,A method for simulating stable random variables,Journal of the American Statistical Association, 71(354)(1976), 340-344.
  • 9Distaso, W, Testing for unit root processes in random coefficient autoregressive models, Journal ofEconometrics, 142(1)(2008), 581-609.
  • 10Rathie, P.N., Coutinho, M., Sousa, T.R., Rodrigues, G.S. and Carrijo, T.B., Stable and generalized-t distributions and applications, Communications in Nonlinear Science and Numerical Simulation,17(12)(2012), 5088-5096.

二级参考文献20

  • 1武东,汤银才.寿命分布的PP图[J].数理统计与管理,2004,23(5):33-39. 被引量：7
  • 2Adler, R.J., Feldman, R.E. and Taqqu, M.S., A Practical Guide to Heavy Tails: Statistical Techniques for Analyzing Heavy Tailed Distributions, Birkhauser, Boston, 1998.
  • 3Buckle, D.J., Bayesian inference for stable distributions, Journal of the American Statistical Association, 90(1995), 605-613.
  • 4Chambers, J.M., Mallows, C.L. and Stuck, B.W., A method for simulating stable random variables, Journal of the American Statistical Association, 70(1976), 340-344.
  • 5DuMouchel, W.H., Stable distribution in statistical inference: 1. Symmetric stable distributions compared to other symmetric long-tailed distributions, Journal of the American Statistical Association, 70(1973), 469-477.
  • 6DuMouchel, W.H., Stable distribution in statistical inference: 2. Information from stably distributed samples, Journal of the American Statistical Association, 70(1975), 386-390.
  • 7Fama, E.F. and Mandelbrot, B., The stable Paretion distribution, Journal of Business, 36(1963), 420-429.
  • 8Fama, E.F., The behavior of stock market prices, Journal of Business, 36(1965), 34-105.
  • 9Fama, E.F. and Roll, R., Some properties of symmetric stable distributions, Journal of the American Statistical Association, 66(1968), 331-338.
  • 10Jorison, P., Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill Companies, 1997.

共引文献12

应用概率统计
2013年 第4期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部