Knowledge Commons of Institute of Automation,CAS
GSA-based maximum likelihood estimation for threshold vector error correction model | |
Yang, Zheng; Tian, Zheng; Yuan, Zixia | |
发表期刊 | COMPUTATIONAL STATISTICS & DATA ANALYSIS |
2007-09-15 | |
卷号 | 52期号:1页码:109-120 |
文章类型 | Article |
摘要 | The log-likelihood function of threshold vector error correction models is neither differentiable, nor smooth with respect to some parameters. Therefore, it is very difficult to implement maximum likelihood estimation (MLE) of the model. A new estimation method, which is based on a hybrid algorithm and MLE, is proposed to resolve this problem. The hybrid algorithm, referred to as genetic-simulated annealing, not only inherits aspects of genetic-algorithms (GAs), but also avoids premature convergence by incorporating elements of simulated annealing (SA). Simulation experiments demonstrate that the proposed method allows to estimate the parameters of larger cointegrating systems. Additionally, numerical results show that the hybrid algorithm does a better job than either SA or GA alone. (c) 2007 Elsevier B.V. All rights reserved. |
关键词 | Threshold Vector Error Correction Model Maximum Likelihood Estimation Genetic-simulated Annealing |
WOS标题词 | Science & Technology ; Technology ; Physical Sciences |
关键词[WOS] | COINTEGRATION ; ALGORITHM |
收录类别 | SCI |
语种 | 英语 |
WOS研究方向 | Computer Science ; Mathematics |
WOS类目 | Computer Science, Interdisciplinary Applications ; Statistics & Probability |
WOS记录号 | WOS:000249912400009 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.ia.ac.cn/handle/173211/9406 |
专题 | 09年以前成果 |
作者单位 | 1.Northwestern Polytech Univ, Dept Appl Math, Xian 710072, Peoples R China 2.Chinese Acad Sci, Inst Automat, Natl Key Lab Pattern Recognit, Beijing 100080, Peoples R China |
推荐引用方式 GB/T 7714 | Yang, Zheng,Tian, Zheng,Yuan, Zixia. GSA-based maximum likelihood estimation for threshold vector error correction model[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2007,52(1):109-120. |
APA | Yang, Zheng,Tian, Zheng,&Yuan, Zixia.(2007).GSA-based maximum likelihood estimation for threshold vector error correction model.COMPUTATIONAL STATISTICS & DATA ANALYSIS,52(1),109-120. |
MLA | Yang, Zheng,et al."GSA-based maximum likelihood estimation for threshold vector error correction model".COMPUTATIONAL STATISTICS & DATA ANALYSIS 52.1(2007):109-120. |
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