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Functional Central Limit Theorem for GARCH Process with Markov Switching

Title
Functional Central Limit Theorem for GARCH Process with Markov Switching
Authors
정상희
Issue Date
2015
Department/Major
대학원 통계학과
Publisher
이화여자대학교 대학원
Degree
Master
Advisors
이외숙
Abstract
Asymptotic convergence theories, the central limit theorem and the functional central limit theorem, are indispensable in statistical inferences in time series. In this paper, we study the sufficient condition for Markov-Switching GARCH model by using the concept of -NED. We will establish the conditions of coefficients. Stationarity and the functional central limit theorem will be proved under the conditions.;본 논문에서는 마코프 스위칭을 가지는 오차모형인 Markov-Switching GARCH(MS-GARCH) 모형을 대상으로 -NED(Near Epoch Dependence)의 관점에서 Functional Central Limit Theorem(FCLT)가 성립하는 충분조건을 찾는다. 이를 위해 의 4차 모멘트의 존재성을 가정하고 마코프 체인에 의해 변하는 계수가 포함된 기댓값에 조건을 부과하였다.
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