GSA-based maximum likelihood estimation for threshold vector error correction model

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	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	被引频次：11[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
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.