On the sample variance of explosive random coefficient autoregressive processes
Publication in refereed journal


香港中文大学研究人员 ( 现职)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.aml.2011.05.046

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

其它资讯

摘要This work investigates the behavior of the sample variance of an explosive random coefficient autoregressive process y(t) = (a + u(t))y(t-1) + epsilon(t). It is shown that the simulated sample variance has a distribution when a(2) < 1 and a(2) + sigma(2)(u) = 1. Moreover, the variance of y(t) when a = -1 is found to be three times larger as compared with the case where a = 1. (C) 2http://aims.cuhk.edu.hk/converis/portal/Publication/011 Elsevier Ltd. All rights reserved.

着者Chong TTL, Leung WK
期刊名称APPLIED MATHEMATICS LETTERS
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/011
月份12
日期1
卷号24
期次12
出版社Elsevier
页次2http://aims.cuhk.edu.hk/converis/portal/Publication/077 - 2http://aims.cuhk.edu.hk/converis/portal/Publication/081
国际标準期刊号http://aims.cuhk.edu.hk/converis/portal/Publication/0893-9659
语言英式英语

关键词ARCH; GARCH; Random coefficient model; Second-order stationary
Web of Science 学科类别Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED