کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1139804 1489421 2013 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On a constrained mixture vector autoregressive model
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
On a constrained mixture vector autoregressive model
چکیده انگلیسی

A mixture vector autoregressive model has recently been introduced to the literature. Although this model is a promising candidate for nonlinear multiple time series modeling, high dimensionality of the parameters and lack of method for computing the standard errors of estimates limit its application to real data. The contribution of this paper is threefold. First, a form of parameter constraints is introduced with an efficient EM algorithm for estimation. Second, an accurate method for computing standard errors is presented for the model with and without parameter constraints. Lastly, a hypothesis-testing approach based on likelihood ratio tests is proposed, which aids in the selection of unnecessary parameters and leads to the greater efficiency at the estimation. A case study employing U.S. Treasury constant maturity rates illustrates the applicability of the mixture vector autoregressive model with parameter constraints, and the importance of using a reliable method to compute standard errors.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 93, July 2013, Pages 19–28
نویسندگان
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