On a constrained mixture vector autoregressive model
Publication in refereed journal


香港中文大学研究人员 ( 现职)

黄镇山教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.matcom.2013.05.001

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/0WOS source URL

其它资讯

摘要A mixture vector autoregressive model has recently been introduced to the literature. Although this model is a promising candidate for nonlinear multiple time series modeling, high dimensionality of the parameters and lack of method for computing the standard errors of estimates limit its application to real data. The contribution of this paper is threefold. First, a form of parameter constraints is introduced with an efficient EM algorithm for estimation. Second, an accurate method for computing standard errors is presented for the model with and without parameter constraints. Lastly, a hypothesis-testing approach based on likelihood ratio tests is proposed, which aids in the selection of unnecessary parameters and leads to the greater efficiency at the estimation. A case study employing U.S. Treasury constant maturity rates illustrates the applicability of the mixture vector autoregressive model with parameter constraints, and the importance of using a reliable method to compute standard errors. (c) 2http://aims.cuhk.edu.hk/converis/portal/Publication/013 IMACS. Published by Elsevier B.V. All rights reserved.

着者Wong CS
会议名称MSSANZ 19th Biennial Congress on Modelling and Simulation (MODSIM)
会议开始日12.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/011
会议完结日16.12.2http://aims.cuhk.edu.hk/converis/portal/Publication/011
会议地点Perth
期刊名称Mathematics and Computers in Simulation
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/013
月份7
日期1
卷号93
出版社ELSEVIER SCIENCE BV
页次19 - 28
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0378-4754
电子国际标準期刊号1872-7166
语言英式英语

关键词EM algorithm; Interest rate; Likelihood ratio test; Non-linear time-series model
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED