Full metadata record
DC Field | Value | Language |
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dc.contributor.author | 박보성 | - |
dc.creator | 박보성 | - |
dc.date.accessioned | 2016-08-26T12:08:50Z | - |
dc.date.available | 2016-08-26T12:08:50Z | - |
dc.date.issued | 2002 | - |
dc.identifier.other | OAK-000000071599 | - |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/191021 | - |
dc.identifier.uri | http://dcollection.ewha.ac.kr/jsp/common/DcLoOrgPer.jsp?sItemId=000000071599 | - |
dc.description.abstract | 본 논문에서는 다음과 같이 주어진 AR-processing (ARCH) 모형 에 대한 Geometric Ergodicity 의 충분조건을 찾고, Y_(t+i_(q+1))= g₁(Y(t+i₁),…, Y(t+i)) + g₂(Y(t+i₁),…, Y(t+i_q)) e(t+i_(q+1)) 또, 1995년 Tjstheim 와 Masry 의해 발표된 논문에 나온 충분조건의 의미를 생각하고, 그것이 항상 성립하지 않음을 보인다.;We consider the qth-order autoregressive conditional heteroskeda- stic(ARCH) model which is given by Y_(t+i_(q+1))= g₁(Y(t+i₁),…, Y(t+i)) + g₂(Y(t+i₁),…, Y(t+i_q)) e(t+i_(q+1)) where {e_t}is an independent and identically distributed(i.i.d) sequence of random variables with means 0 and variance 1, and g₁and g₂are measurable functions on R^q. In this paper, we give a sufficient condition for geometric ergodicity of the above model by using Tweedie(1975,1988)-type criterion, and compare this result with the other condition which is given by TjΦstheim & Masry (1995) . | - |
dc.description.tableofcontents | ABSTRACT CHAPTERS 1. INTRODUCTION = 1 2. GEOMETRIC ERGODICITY AND REFORMATION OF TWEEDIE CRITERIA = 5 3. MAIN RESULT = 8 4. CONSIDERATION ABOUT THE MEANING OF OTHER CONDITION = 15 5. DISCUSSION = 1 REFERENCES = 19 논문초록 = 21 감사의 글 = 22 | - |
dc.format | application/pdf | - |
dc.format.extent | 276726 bytes | - |
dc.language | eng | - |
dc.publisher | 이화여자대학교 대학원 | - |
dc.title | Geometric ergodicity of the non-linear AR-ARCH models | - |
dc.type | Master's Thesis | - |
dc.format.page | ii, 22 p. | - |
dc.identifier.thesisdegree | Master | - |
dc.identifier.major | 대학원 통계학과 | - |
dc.date.awarded | 2002. 2 | - |