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 |
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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 |
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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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