کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
6869994 681132 2014 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate GARCH estimation via a Bregman-proximal trust-region method
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Multivariate GARCH estimation via a Bregman-proximal trust-region method
چکیده انگلیسی
The estimation of multivariate GARCH time series models is a difficult task mainly due to the excessive parametrization exhibited by the problem, usually referred to as the “curse of dimensionality”. For the VEC family, the number of parameters involved in the model grows as a polynomial of order four on the dimension of the problem and, additionally, these parameters are subjected to complex nonlinear constraints. So far, this problem has been addressed only in low dimensional cases with strong parsimony constraints for the diagonal three-dimensional VEC handled with ad-hoc techniques. A general formulation of the estimation problem in any dimension and a Bregman-proximal trust-region method for its solution is proposed. The Bregman-proximal approach allows to handle the constraints in a very efficient and natural way by staying in the primal space and the Trust-Region mechanism stabilizes and speeds up the scheme. Computational experiments confirm the very good performance of the proposed approach.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 76, August 2014, Pages 210-236
نویسندگان
, ,