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GSA-based maximum likelihood estimation for threshold vector error correction model
Yang, Zheng; Tian, Zheng; Yuan, Zixia
2007-09-15
发表期刊COMPUTATIONAL STATISTICS & DATA ANALYSIS
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
被引频次:9[WOS]   [WOS记录]     [WOS相关记录]
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
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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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