| 引用本文: | 杨政, 田铮, 党怀义.水平门限同积模型参数的拟极大似然估计[J].控制理论与应用,2007,24(2):299~302.[点击复制] |
| YANG Zheng, TIAN Zheng, DANG Huai-yi.Quasi-maximum likelihood estimation for level-threshold cointegration model[J].Control Theory and Technology,2007,24(2):299~302.[点击复制] |
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| 水平门限同积模型参数的拟极大似然估计 |
| Quasi-maximum likelihood estimation for level-threshold cointegration model |
| 摘要点击 1740 全文点击 795 投稿时间：2004-12-20 修订日期：2006-07-04 |
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| DOI编号 |
| 2007,24(2):299-302 |
| 中文关键词 水平门限 同积模型 拟似然估计 遗传模拟退火 |
| 英文关键词 level threshold cointegration model quasi-maximum likelihood estimation genetic simulated annealing |
| 基金项目 国家自然科学基金资助项目(60375003); 国家航空基础科学基金资助项目(03I53059). |
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| 中文摘要 |
| 提出了用于非平稳非线性时间序列建模的水平门限同积模型,给出了模型参数的拟极大似然估计.由于对门限参数和同积向量似然函数既不可微也不光滑,不能直接运用传统的极大似然估计.因此首先利用遗传模拟退火算法估计门限参数和同积向量,然后用极大似然估计计算其余的参数.仿真结果表明,拟极大似然估计不受模型维数限制具有有效性和可行性.此外,数值计算结果的比较分析表明遗传模拟退火优于传统的遗传算法、模拟退火和随机搜索等优化算法. |
| 英文摘要 |
| A level-threshold cointegration model is proposed for modeling nonstationary and nonlinear time series. Firstly, the quasi-maximum likelihood estimation, combining genetic simulated annealing (GSA) and maximum likelihood estimation(MLE), is developed for the parameter estimation of the model. The log-likelihood function of level-threshold cointegration model is neither differentiable, nor smooth with respect to the threshold parameter and the cointegrating vector. The threshold parameter and the cointegrating vectors are thus estimated by GSA. The remainder parameters of the model are then computed based on MLE. Furthermore,simulation experiment demonstrates that the proposed method is valid and feasible for estimating the parameters of the large cointegrating system. Finally, numerical calculation results show that GSA outperforms random search, simulated annealing and genetic algorithm. |
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