位置：成果数据库 > 期刊 > 期刊详情页
A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH errors
  • ISSN号：1005-1031
  • 期刊名称：《高校应用数学学报：英文版（B辑）》
  • 时间：0
  • 分类：O212[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]Dept. of Math., Zhejiang Univ., Hangzhou 310027, China
  • 相关基金：Supported by the National Natural Science Foundation of China （10471126; 10671176）.
作者： YANG Xiao-rong ZHANG Li-xin[1]
关键词： 统计量, 最小整数, 根, GARCH误差, unit root, AR （p）-GARCH （1,1）, self-normalized, Dickey-Fuller test statistic.
中文摘要：

在这篇文章，为有 GARCH 错误的 AR (p) 模型的联合起来的根测试被考虑。女性衬衫的胸襟完整的测试统计在自我使正常化的和形式被重写，并且测试统计的 asymptotic 分发在弱条件下面被导出。

英文摘要：

In this article, the unit root test for AR（p） model with GARCH errors is considered. The Dickey-Fuller test statistics are rewritten in the form of self-normalized sums, and the asymptotic distribution of the test statistics is derived under the weak conditions.

同期刊论文项目
几类相依变量的极限理论及其在适应设计、计量经济中的应用
期刊论文 71 会议论文 1
随机矩阵的渐近理论及其应用研究
期刊论文 37
同项目期刊论文
A note on self-normalized Dickey-Fuller test for unit root in autoregressive time series with GARCH
ON MAXIMA OF PERIODOGRAMS OF STATIONARY PROCESSES
Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample
Robust estimation in a nonlinear cointegration model
A weak invariance principle for self-normalized products of sums of mixing sequences
Joint and supremum distributions in the compound binomial model with Markovian environment
Strong laws of large numbers for arrays of rowwise independent random compact sets and fuzzy random
Strong limit theorems for random sets and fuzzy random sets with slowly varying weights
THE ASYMPTOTIC DISTRIBUTION AND BERRY–ESSEEN BOUND OF A NEW TEST FOR INDEPENDENCE IN HIGH DIMENSION
Precise asymptotics for the first moment of the error variance estimator in linear models
Precise Asymptotics for Random Matrices and Random Growth Models
A LIL for independent non-identically distributed random variables in Banach space and its applicati
Precise asymptotics in the law of logarithm under dependence assumptionsI
ON THE RATES OF THE CHUNG-TYPE LAW OF LOGARITHM
A GENERAL LIL FOR TRIMMED SUMS OF RANDOM FIELDS IN BANACH SPACES
Strong approximation for a class of stationary processes
Nonparametric tests for the general multivariate multi-sample problem
Asymptotic inference for nearly nonstationary AR(1) processes with　possibly infinite variance
Circular β Ensembles, CMV representation, Characteristic Polynomials
Exact rates in log law for positively associated random variables
Transition Distributions of Young Diagrams Under Periodically Weighted Plancherel Measures
LOCAL LINEAR M-ESTIMATORS IN NULL RECURRENT TIME SERIES
Asymptotics for self-normalized random products of sums of i.i.d. random variables
Precise rates in the law of the logarithm for negatively associated random variables
强平稳ρ-混合序列的精确渐近性
含均值变点时相依误差时间序列的Dickey—Fuller单位根统计量的极限分布
行内NA组列的完全收敛性
PA序列Chung型对数律的极限定理
相依假设下样本相关矩阵最大元的渐近分布
自正则Chung型重对数律的精确渐近性
Asymptotic normality for U-sta
I.I.D 随机变量序列矩完全收敛的
NA序列的部分和乘积的渐近正态性
线性过程的强逼近
A Berry-Esseen theorem and a l
一类截断部分和乘积的渐近正态性
Banach空间的Chung-Teicher型大
多指标随机变量部分和的精确渐近
负相伴随机变量序列矩完全收敛性
Optimal reinsurance under expe
Asymptotics of kernel density
Banach 空间中独立不同分布随机
Precise asymptotics in Chung’
Precise asymptotics in the sel
An application of Stein’s met
Spatial local M-estimation und
A generalized drop-the-loser u
A not on the invariance of pri
Rate of convergence for multip
Precise Asymptotics in the law
On the correlation order
Some limiting properties on th
Change point estimators by loc
Strong approximation of a Mark
Precise rates in the law of th
Precise rates in the law of lo
An application of the alpha-po
The Limit distribution of the
一类Markov 链的强逼近
Asymptotic properties of covar
Asymptotic theorems of sequent
Asymptotic results on a class
A generalized urn model for cl
含均值变点时相依误差时间序列的
Asymptotic distribution for pr
\rho-混合序列部分和乘积的几乎
相伴随机变量序列的泛函型几乎处
强混合序列部分和乘积的几乎处处
负相伴随机序列的bootstrap中心
On the moment convergence rate
Asymptotically best response-a
自正则Chung型重对数律的精确渐
A nonclassical law of the iter
Precise rates in the law of it
\rho^{ast}混合随机变量序列部分
A note on self-normalized Dick
含均值变点时相依误差时间序列的Dickey—Fuller单位根统计量的极限分布
NA随机场对数律的收敛速度
I．I．D．随机变量序列矩完全收敛的精确渐近性
ρ-混合序列加权和的完全收敛性及其应用
ρ混合序列的Marcinkiewicz强大数律与完全收敛性
功率和的强逼近
在最少条件下的对数律精确渐近性
相伴随机变量序列的泛函型几乎处处中心极限定理
ρ-混合序列的重对数律
多指标随机变量部分和的精确渐近性
A GENERAL FORM OF THE INCREMENTS OF TWO-PARAMETER FRACTIONAL WIENER PROCESS
RATE OF CONVERGENCE FOR MULTIPLE CHANGEPOINTS ESTIMATION OF MOVING-AVERAGE PROCESSES
一类统计量的强大数律和重对数律的精确极限性质
负相伴随机序列的bootstrap中心极限定理
强混合序列部分和乘积的几乎处处中心极限定理
同分布两两NQD随机序列和的强大数律
独立加权和的完全收敛性
ρ-混合序列部分和乘积的几乎处处极限定理
自正则Chung型重对数律的精确渐近性
Banach空间的Chung-Teicher型大数律
PRECISE ASYMPTOTICS IN SELF-NORMALIZED SUMS OF ITERATED LOGARITHM FOR MULTIDIMENSIONALLY INDEXED RANDOM VARIABLES
期刊信息
  • 《高校应用数学学报：英文版（B辑）》
  • 主管单位:教育部
  • 主办单位:浙江大学 中国工业与应用数学学会
  • 主编：林正炎 李大潜
  • 地址：杭州玉泉浙江大学数学系
  • 邮编：310027
  • 邮箱：amjcu B@eju.edu.cn
  • 电话：0571-87951602
  • 国际标准刊号：ISSN：1005-1031
  • 国内统一刊号：ISSN：33-1171/O
  • 邮发代号:
  • 获奖情况:
  • 国内外数据库收录:
  • 美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引（扩展库）
  • 被引量:26