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GSA-based maximum likelihood estimation for threshold vector error correction model
Yang, Zheng; Tian, Zheng; Yuan, Zixia
Source PublicationCOMPUTATIONAL STATISTICS & DATA ANALYSIS
2007-09-15
Volume52Issue:1Pages:109-120
SubtypeArticle
AbstractThe 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.
KeywordThreshold Vector Error Correction Model Maximum Likelihood Estimation Genetic-simulated Annealing
WOS HeadingsScience & Technology ; Technology ; Physical Sciences
WOS KeywordCOINTEGRATION ; ALGORITHM
Indexed BySCI
Language英语
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Interdisciplinary Applications ; Statistics & Probability
WOS IDWOS:000249912400009
Citation statistics
Document Type期刊论文
Identifierhttp://ir.ia.ac.cn/handle/173211/9406
Collection09年以前成果
Affiliation1.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
Recommended Citation
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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