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on the vector ar-gogarch parameter estimation
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نویسنده
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manouchehri t. ,sadeghi kahmini m. ,nematollahi a.r.
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منبع
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شانزدهمين كنفرانس آمار ايران - 1401 - دوره : 16 - شانزدهمین کنفرانس آمار ایران - کد همایش: 01220-18271 - صفحه:0 -0
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چکیده
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In this article, we consider the problem of estimating the parameters ofvector autoregressive (var) models with multivariate gogarch errors. in the vargogarchmodels with gaussian and non-gaussian (skew-normal) innovations, themaximum likelihood estimation method is used. the numerical results are then reportedto examine the proposed method.
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کلیدواژه
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vector autoregressive process; multivariate gogarch model; multivariateskew-normal; ml estimate.
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آدرس
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, iran, , iran, , iran
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Authors
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