主 题: Statistical inference for a single-index ARCH-M model
内容简介: A single-index ARCH-M model is studied. Estimators of parametric and nonparametric components for a single-index model are proposed by profile likelihood method. All estimators are shown to be consistent and asymptotically normal. Wald statistic and generalized likelihood ratio statistic to test ARCH effect and goodness-of-fit are proposed, based on asymptotic properties of estimators. Simulations show that proposed estimators and test statistics in this paper perform well.
报告人: 李元 教授 博导
时 间: 2017-12-04 08:30
地 点: 竞慧东楼302
举办单位: 理学 、统计科学与大数据研究院 科研部