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《Systems Engineering》 2004-10
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Maximum Likelihood Estimation of ARFIMA Models with Missing Values

GAO Jie (School of Science, Southern Yangtze University, Wuxi 214064,China)  
By incorporating the state-space representation with the Kalman filter, we can solve the missing values problem for time series. This thesis computes the maximum likelihood estimation of an ARFIMA process with missing values by (modifying) the Kalman filter recursive equations.
【Fund】: 江南大学科研基金资助项目(0003180)
【CateGory Index】: O212.1
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【References】
Chinese Journal Full-text Database 1 Hits
1 JIN Xiu,YAO Jin,ZHUANG Xin-tian(School of Business Administration,Northeastern University,Shenyang 110004,China);Study of ARFIMA Model and Its Forecast Performance Based on Fractional Differencing[J];Application of Statistics and Management;2007-05
【Co-references】
Chinese Journal Full-text Database 10 Hits
1 LIU Le-ping1,ZHANG Mei-ying2,LI Jiao-jiao1(1 Statistical School,Tianjin University of Finance and Economics,Tianjin,300222,China;2.Faculty of Mathematic and Information Science,East China Institute of Technology,Fuzhou 344000,China;3.Center for Applied Statistics,Renmin University of China,Beijing 100872,China);Bayesian Econometrics Based on WinBUGS[J];Journal of East China Institute of Technology(Social Science);2007-02
2 MIAO Jing-yi;A Reading Notes of Super-parameter Estimation Among state space Analysis[J];Journal of Xhanxi Institute of Economic Managment;2001-04
3 WANG Hai-peng, TIAN Peng, JIN Ping ( School of Aetna Management, Shanghai Jiaotong University, Shanghai 200052, China; Department of Scientific Research, Chongqing University, Chongqing 400044, China);Time-varying parameter co-integration relationship between electricity consumption and economic growth in China[J];Journal of North China Electric Power University;2005-04
4 ZHOU Jian, PAN Hui - feng (Tsinghua University, Beijing 100084, China);Framework of financial econometrics and its recent development[J];Journal of Harbin Institute of Technology(Social Sciences Edition);2004-02
5 WANG Xin-yu~1, SONG Xue-feng~1, WU Rui-ming~2 1.Economic and Managerial Complexity Institute, School of Management, China University of Mining and Technology, Xuzhou 221008, China; 2. Management School, Shanghai Jiaotong University, Shanghai 200052, China;Fractal analysis of China stock markets[J];Journal of Management Sciences in China;2004-05
6 YONGMIAO HONG (Cornell University);Some Recent Development in Financial Econometrics[J];China Economic Quarterly;2002-01
7 Zhao Jianyi,Yu Ze, and Li Yingjun(China Youth University for Political Sciences);Investor Participation and Its Meaning for the Fund Rating[J];Economic Research Journal;2005-07
8 Zeng Xiaojie Huang Hao Chu Guoqiang;The Investment Style and Classification of Funds: Evidence from China's Securities Market[J];Journal of Finance;2004-03
9 HU Shi-qiang~(1,2), JING Zhong-liang~1 (1.Department of Automation, Shanghai Jiaotong University, Shanghai 200030,China; 2.Department of Automation, Hebei University of Science and Technology, Shijiazhuang 050054, China);Overview of particle filter algorithm[J];Control and Decision;2005-04
10 ZHAO Songshan(Department of Quantiaitive Economics,Dongbei University of Finance and Economics, Dalian 116025,China);Investigating State Space Models of Economic Systemand Their Construction[J];Journal of Nanjing University of Finance and Economics;2004-03
【Secondary References】
Chinese Journal Full-text Database 3 Hits
1 HAN Jian-zhi1,2,DENG Xiang-zheng1,2,ZHAN Jin-yan31.Institute of Geographical Sciences and Natural Resources Research,Chinese Academy of Sciences,Beijing 100101;2.Center for Chinese Agricultural Policy,Chinese Academy of Sciences,Beijing 100101;3.State Key Laboratory of Water Environment Simulation,School of Environment,Beijing Normal University,Beijing 100875;Effects of Carbon Sequestration Strategies on Agricultural Production in the North China Plain[J];农业科学与技术(英文版);2009-05
2 GU Xianbin,LI Xuying(School of Economics and Management,Shanghai Maritime Univ.,Shanghai 200135,China);Empirical analysis on long memory property of Baltic dry index[J];Journal of Shanghai Maritime University;2009-01
3 Zuo Yunbo Wang Xibin Xu Xiaoli Beijing Institute of Technology,Beijing,100081;Application of DFAR Model to the Trend Prediction of Fault in Rotary Machines[J];China Mechanical Engineering;2009-12
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