کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417896 681591 2008 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Mixture periodic autoregressive conditional heteroskedastic models
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Mixture periodic autoregressive conditional heteroskedastic models
چکیده انگلیسی

Mixture Periodically Correlated Autoregressive Conditionally Heteroskedastic (MPARCH) model, which extends the ARCH model, is proposed. The primary motivation behind this extension is to make the model consistent with high kurtosis, outliers and extreme events, and at the same time, able to capture the periodicity feature exhibited by the autocovariance structure. The second and the fourth moment periodically stationary conditions and their closed-forms are derived. Maximum likelihood estimation is obtained via the iterative Expectation Maximization algorithm and the performance of this algorithm is shown via a simulation studies and the MPARCH models are fitted to a real data set.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 53, Issue 1, 15 September 2008, Pages 1–16
نویسندگان
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