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排序方式: 共有159条查询结果,搜索用时 15 毫秒
1.
Jonathan H. Wright 《Econometric Reviews》2002,21(4):397-417
Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies. 相似文献
2.
《Econometric Reviews》2008,27(1):268-297
Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior. 相似文献
3.
AbstractWe will establish the local asymptotic normality (LAN) for fractional autoregressive long memory model in the case of strong mixing noises. This opens the way in future work to construct an adaptive estimator and construct optimal tests for the parameters. To check the feasibility and validity of our theoretical results a simulations study is considered. 相似文献
4.
《Journal of Statistical Computation and Simulation》2012,82(2):185-201
In this paper we introduce a procedure to compute prediction intervals for FARIMA (p d q) processes, taking into account the variability due to model identification and parameter estimation. To this aim, a particular bootstrap technique is developed. The performance of the prediction intervals is then assessed and compared to that of standard bootstrap percentile intervals. The methods are applied to the time series of Nile River annual minima. 相似文献
5.
《Journal of Statistical Computation and Simulation》2012,82(10):1954-1969
ABSTRACTStrongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of the underlying processes. 相似文献
6.
We propose a specific general Markov-regime switching estimation both in the long memory parameter d and the mean of a time series. We employ Viterbi algorithm that combines the Viterbi procedures in two state Markov-switching parameter estimation. It is well-known that existence of mean break and long memory in time series can be easily confused with each other in most cases. Thus, we aim at observing the deviation and interaction of mean and d estimates for different cases. A Monte Carlo experiment reveals that the finite sample performance of the proposed algorithm for a simple mixture model of Markov-switching mean and d changes with respect to the fractional integrating parameters and the mean values for the two regimes. 相似文献
7.
P. C. Wang 《统计学通讯:理论与方法》2017,46(1):9-16
Recently, many researchers have devoted themselves to the investigation on the number of replicates needed for experiments in blocks of size two. In practice, experiments in blocks of size four might be more useful than those in blocks of size two. To estimate the main effects and two-factor interactions from a two-level factorial experiment in blocks, we might need many replicates. This article investigates designs with the least number of replicates for factorial experiments in blocks of size four. The methods to obtain such designs are presented. 相似文献
8.
Tommy Wright 《The American statistician》2013,67(4):217-224
We present a surprising though obvious result that seems to have been unnoticed until now. In particular, we demonstrate the equivalence of two well-known problems—the optimal allocation of the fixed overall sample size n among L strata under stratified random sampling and the optimal allocation of the H = 435 seats among the 50 states for apportionment of the U.S. House of Representatives following each decennial census. In spite of the strong similarity manifest in the statements of the two problems, they have not been linked and they have well-known but different solutions; one solution is not explicitly exact (Neyman allocation), and the other (equal proportions) is exact. We give explicit exact solutions for both and note that the solutions are equivalent. In fact, we conclude by showing that both problems are special cases of a general problem. The result is significant for stratified random sampling in that it explicitly shows how to minimize sampling error when estimating a total TY while keeping the final overall sample size fixed at n; this is usually not the case in practice with Neyman allocation where the resulting final overall sample size might be near n + L after rounding. An example reveals that controlled rounding with Neyman allocation does not always lead to the optimum allocation, that is, an allocation that minimizes variance. 相似文献
9.
Dejian Lai Qiang Zhang Jose-Miguel Yamal Paula T. Einhorn Barry R. Davis 《统计学通讯:理论与方法》2017,46(18):8943-8951
Effective recruitment is a prerequisite for successful execution of a clinical trial. ALLHAT, a large hypertension treatment trial (N = 42,418), provided an opportunity to evaluate adaptive modeling of recruitment processes using conditional moving linear regression. Our statistical modeling of recruitment, comparing Brownian and fractional Brownian motion, indicates that fractional Brownian motion combined with moving linear regression is better than classic Brownian motion in terms of higher conditional probability of achieving a global recruitment goal in 4-week ahead projections. Further research is needed to evaluate how recruitment modeling can assist clinical trialists in planning and executing clinical trials. 相似文献
10.
《Econometric Reviews》2013,32(4):397-417
ABSTRACT Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies. 相似文献