Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质)
运用Copula模型研究随机变量间的相关结构，是近年来金融统计分析中的一个热点.在龚金国和史代敏提出时变Copula非参数模型的基础上，利用时间序列的极限理论研究了时变参数估计量的大样本性质，并给出了时变Copula模型的非参数估计算法.研究结果表明，时变Copula非参数模型的时变参数估计量具有一致性和渐近正态性....
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2012-11-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2012.06.006 |
| _version_ | 1797236059248001024 |
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| author | GONGJin-guo(龚金国) SHIDai-min(史代敏) |
| author_facet | GONGJin-guo(龚金国) SHIDai-min(史代敏) |
| author_sort | GONGJin-guo(龚金国) |
| collection | DOAJ |
| description | 运用Copula模型研究随机变量间的相关结构，是近年来金融统计分析中的一个热点.在龚金国和史代敏提出时变Copula非参数模型的基础上，利用时间序列的极限理论研究了时变参数估计量的大样本性质，并给出了时变Copula模型的非参数估计算法.研究结果表明，时变Copula非参数模型的时变参数估计量具有一致性和渐近正态性. |
| first_indexed | 2024-04-24T16:57:50Z |
| format | Article |
| id | doaj.art-a8717071c97f4de3bce3cd54414c9382 |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T16:57:50Z |
| publishDate | 2012-11-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-a8717071c97f4de3bce3cd54414c93822024-03-29T01:58:31ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972012-11-0139663063410.3785/j.issn.1008-9497.2012.06.006Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质)GONGJin-guo(龚金国)0SHIDai-min(史代敏)1Statistics School, Southwestern University of Finance and Economics, Chengdu 610074, China(西南财经大学统计学院，四川 成都 610074)Statistics School, Southwestern University of Finance and Economics, Chengdu 610074, China(西南财经大学统计学院，四川 成都 610074)运用Copula模型研究随机变量间的相关结构，是近年来金融统计分析中的一个热点.在龚金国和史代敏提出时变Copula非参数模型的基础上，利用时间序列的极限理论研究了时变参数估计量的大样本性质，并给出了时变Copula模型的非参数估计算法.研究结果表明，时变Copula非参数模型的时变参数估计量具有一致性和渐近正态性.https://doi.org/10.3785/j.issn.1008-9497.2012.06.006时变copula局部极大似然估计一致性渐近正态性 |
| spellingShingle | GONGJin-guo(龚金国) SHIDai-min(史代敏) Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) Zhejiang Daxue xuebao. Lixue ban 时变copula 局部极大似然估计 一致性 渐近正态性 |
| title | Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) |
| title_full | Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) |
| title_fullStr | Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) |
| title_full_unstemmed | Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) |
| title_short | Large sample properties of nonparametric estimation in time-varying Copula model(时变Copula模型非参数估计的大样本性质) |
| title_sort | large sample properties of nonparametric estimation in time varying copula model 时变copula模型非参数估计的大样本性质 |
| topic | 时变copula 局部极大似然估计 一致性 渐近正态性 |
| url | https://doi.org/10.3785/j.issn.1008-9497.2012.06.006 |
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