时间变化系数平滑量子力回归的估计
Lixia Hu1, Jinhong You2, Qian Huang3
1School of Statistics and Mathematics, Interdisciplinary Research Institute of Data Science, Shanghai Lixin University of Accounting and Finance, Shanghai, People's Republic of China.
Journal of applied statistics
|July 4, 2025
概括
我们引入了一种新的变时系数回归方法,称为conquer (卷积类型光滑量子式回归). 该方法有效地模拟非静止过程,并在金融波动性分析中表现出强的表现.
科学领域:
- 统计 统计 统计 统计
- 计量经济学 计量经济学
- 时间序列分析时间序列分析
背景情况:
- 非静止的随机过程需要先进的建模技术.
- 时间变量系数回归对于捕捉动态关系至关重要.
- 现有的方法可能无法完全解决局部静止过程的复杂性.
研究的目的:
- 为了提出和分析一种新的变时系数回归方法,conquer.
- 在conquer框架内开发一个局部线性估计器用于变系数函数.
- 建立征服估计器的理论特性和实际实用性.
主要方法:
- 开发一个局部线性征服估计器的时间变化的系数.
- 全球Bahadur-Kiefer表示的导出,以获得非对称的正常性.
- 调查统计推断,包括同时的信心波段.
- 经验验证通过广泛的模拟研究和真实世界的金融数据.
主要成果:
- 拟议的征服估计器实现了非对称的正常性.
- 该方法为统计推断提供了一个强大的框架,包括信心带.
- 模拟研究证实了有限样本性能和非对称理论的有效性.
- 对金融波动性数据的成功应用表明了实际相关性.
结论:
- 征服方法为分析非静止时间序列数据提供了一个强大的工具.
- 理论结果为时间变化的系数模型中的统计推理提供了坚实的基础.
- 这种方法非常适合用于计量经济学和金融建模的应用.
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