Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a, b)

doi:10.1186/s13660-018-1769-9

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	Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a, b)
	Xuan, Haiyan1,2 ; Song, Lixin 1; Ji, Un Cig 3; Sun, Yan 4; Dai, Tianjiao 2
	2018-09-11
发表期刊	JOURNAL OF INEQUALITIES AND APPLICATIONS
ISSN	1029-242X
摘要	The paper studies the estimation and the portmanteau test for double AR(p) model with Laplace(a,b) distribution. The double AR(p) model is investigated to propose firstly the quasi-maximum exponential likelihood estimator, design a portmanteau test of double AR(p) on the basis of autocorrelation function, and then establish some asymptotic results. Finally, an empirical study shows that the estimation and the portmanteau test obtained in this paper are very feasible and more effective.
关键词	Double AR(p) model Quasi-maximum exponential likelihood estimator Portmanteau test Autocorrelations
DOI	10.1186/s13660-018-1769-9
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[11371077]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000444784600001
出版者	SPRINGEROPEN
引用统计	被引频次[WOS]：0 [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://ir.lut.edu.cn/handle/2XXMBERH/32454
专题	经济管理学院理学院
通讯作者	Xuan, Haiyan; Song, Lixin
作者单位	1.Dalian Univ Technol, Sch Math Sci, Dalian, Peoples R China 2.Lanzhou Univ Technol, Sch Econ & Management, Lanzhou, Gansu, Peoples R China 3.Chungbuk Natl Univ, Res Inst Math Finance, Coll Sci, Dept Mathermat, Cheongju, South Korea 4.Lanzhou Univ Technol, Coll Sci, Lanzhou, Gansu, Peoples R China
第一作者单位	兰州理工大学
通讯作者单位	兰州理工大学
推荐引用方式 GB/T 7714	Xuan, Haiyan,Song, Lixin,Ji, Un Cig,et al. Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a, b)[J]. JOURNAL OF INEQUALITIES AND APPLICATIONS,2018.
APA	Xuan, Haiyan,Song, Lixin,Ji, Un Cig,Sun, Yan,&Dai, Tianjiao.(2018).Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a, b).JOURNAL OF INEQUALITIES AND APPLICATIONS.
MLA	Xuan, Haiyan,et al."Quasi-maximum exponential likelihood estimator and portmanteau test of double AR(p) model based on Laplace(a, b)".JOURNAL OF INEQUALITIES AND APPLICATIONS (2018).

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