论文检索

线性时间序列模型相对于门限扩展的检验AI 解读

This paper derives the asymptotic null distribution of a quasilikelihood ratio test statistic for an autoregressive moving average model against its threshold extension. The null hypothesis is that of no threshold, and the error term could be dependent. The asymptotic distribution is rather complicated, and all existing methods for approximating a distribution in the related literature fail to work. Hence, a novel bootstrap approximation based on stochastic permutation is…

条件异方差分数单整 ARMA 模型的最小绝对偏差估计AI 解读

We consider a unified least absolute deviation estimator for stationary and nonstationary fractionally integrated autoregressive moving average models with conditional heteroscedasticity. Its asymptotic normality is established when the second moments of errors and innovations are finite. Several other alternative estimators are also discussed and are shown to be less efficient and less robust than the proposed approach. A diagnostic tool, consisting of two portmanteau…