学术
摘 要:
在误差项独立同分布的条件下，本文讨论了条件自回归极差模型条件解和无条件解的渐近性质．利用随机游动的极限性质得到了条件解收敛于无条件解的充分条件，任意阶矩有限的充要条件以及外生变量与内生变量持续性的充要条件．所得到的结论适用于已得到应用的平稳条件自回归极差模型，也适用于包含单位根的模型和满足条件的其他类型的非平稳过程，为模型的统计推断提供了理论基础．[著者文摘]
文章出处:
《应用数学》-2007年20卷3期 -587-592页
分 类 号:
文献标识码:
A
文章编号:
1001-9847（2007）03-0587-06
Asymptotic Properties of CARR Model
ZHOU Jie ,LIU San-yang （Department of Applied Mathematics , Xidian University, Xi＇an 710071, China）
Abstract:
Under the condition that the error terms are i. i. d. the asymptotic behaviors of the conditional solution and unconditional solution of CARR model are investigated in this paper. By the asymptotic properties of random walk we develop suffcient conditions for the convergence of conditional solution to noneonditional solution,necessary and sufficient conditions for the finiteness of absolute moments of any order and for the persistence of endogenous variables and exogenous variables. The results hold in stationary CARR model,CARR model with a unit root and other nonstationary processes which satisfy certain conditions and provide a theoretical basis for statistical inference.[著者文摘]
Key words:
CARR model ; Martingale; Persistence
基金资助:
国家自然科学基金资助项目（60574075）
更多>>免费文章
cqvip.com