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中山大学岭南学院高级计量经济学课件（II：Time series）CH5 Vector Autoregression (VAR) Models
中山大学岭南学院 高级计量经济学 课件（II：Time series） CH5 Vector Autoregression (VAR) Models
2017/6/14
中山大学岭南学院高级计量经济学课件（II：Time series）CH5 Vector Autoregression (VAR) Models。
Di€usion approximation for nonparametric autoregression
Nonparametric experiments de® ciency distance likelihood ratio process stochastic di€ erential equation autoregression di€ usion sampling asymptotic su ciency
2015/8/25
A nonparametric statistical model of small di€usion type is compared with its discretization by a stochastic Euler di€erence scheme. It is shown that the discrete and continuous models are a...
Second-order continuous-time non-stationary Gaussian autoregression
Lyapunov Exponent Maximum Likelihood Estimation Asymptotic Mixed Normality Non-Normal Limit Distribution Rate of Convergence
2012/6/27
The objective of the paper is to identify and investigate all possible types of asymptotic behavior for the maximum likelihood estimators of the unknown parameters in the second-order linear stochasti...