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view Articles
°Ô½Ã¹° À̸ÞÀÏ·Î º¸³»±â    °Ô½Ã¹° Ãâ·ÂÇϱâ
name ·ù±Ù°ü [2005.05.03]  HIT:1420
title [´äº¯] Parametric Bootstrapping °ü·Ã Áú¹®ÀÔ´Ï´Ù.
ÀÏÀÏ ÁÖ°¡¼öÀÍ·üÀÇ ºÐÆ÷°¡ µ¶¸³ÀÌ ¾Æ´Ñ °æ¿ì ¸ð¼öÀû ºÎÆ®½ºÆ®·¡ÇÎ ¹æ½ÄÀ» »ç¿ëÇÏ´Â °æ¿ì¿¡´Â ÀÎÁ¢ÇÑ ¼öÀÍ·ü°£ÀÇ »ó°ü°ü°è¸¦ ÀûÀýÇÑ ¹æ½ÄÀ¸·Î ¸ð¼öÀûÀ¸·Î ¼³Á¤ÇÑ µÚ ±× ÃßÁ¤µÈ °ü°è¸¦ ÀÌ¿ëÇÏ¿© ºÎÆ®½ºÆ®·¡ÇÎÇÏ¸é µË´Ï´Ù. ¿¹ÄÁ´ë ¤µÀÍ·üÀÇ ºÐÆ÷°¡ AR(1) °úÁ¤À» µû¸£´Â ¹æ½ÄÀ¸·Î µ¶¸³ÀÌ ¾Æ´Ï¶ó°í °¡Á¤Çϸé

1. r_t = a + b r_(t-1) +e_t ÀÇ ¸ðÇüÀ» ÃßÁ¤ÇÏ¿© °è¼ö a, b¸¦ ±¸ÇÕ´Ï´Ù. À̸¦ ÀÌ¿ëÇϸé e_t = r_t - a - b r_(t-1) À» ±¸ÇÒ ¼ö ÀÖ°Ô µË´Ï´Ù. e_t´Â r_t¿¡ ºñÇØ »ó´ëÀûÀ¸·Î µ¶¸³ÀÏ °¡´É¼ºÀÌ Ä¿Á³À¸¹Ç·Î
e_tµéÀÌ µç ÁÖ¸Ó´Ï¿¡¼­ e_t¸¦ ÇÊ¿äÇÑ ¸¸Å­ ÃßÃâÇÏ°í À̸¦ ÀÌ¿ëÇÏ¿© r_t¸¦ ´Ù½Ã ±¸ÇسÀ´Ï´Ù. r_t= a+ b r_(t-1) +e_t ÀÌ·± ½ÄÀ¸·Î ÇÏ¸é ¿øÇÏ´Â Å©±âÀÇ r_t Ç¥º»À» ¸¸µé¾î ³¾ ¼ö ÀÖ°í À̸¦ ´Ù½Ã ÀüüÀûÀ¸·Î ¿øÇÏ´Â ¸¸Å­ ±× Àüü °úÁ¤À» ¹Ýº¹ÇÏ¸é µË´Ï´Ù.

2. À§ÀÇ ÀýÂ÷´Â ÇÊ¿ä¿¡ µû¶ó r_t°¡ scalar°¡ ¾Æ´Ï¶ó vector ÀÎ °æ¿ì,
AR(1)À» VAR(1)À¸·Î È®ÀåÇÒ ¼ö ÀÖ½À´Ï´Ù. ¶Ç »çÂ÷È¿°ú°¡ Á»´õ °­ÇÑ °æ¿ì AR(1), VAR(1) ´ë½Å¿¡ AR(p), VAR(p) ¸¦ »ç¿ëÇÒ ¼öµµ ÀÖ½À´Ï´Ù. (p>1).

·ù±Ù°ü ±³¼ö

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Total 66 articles, 5 pages/ current page is 1
66 ¼÷Á¦9¹ø Áú¹® (1) ¼ö°­»ý 2005.04.17 1342
65   ¢º[´äº¯] question 7¹®Á¦ ·ù±Ù°ü 2005.05.12 1350
64 [°øÁö] Áß°£°í»ç Ŭ·¹ÀÓ ½Ã°£ (4) TA 2005.05.09 1387
63 ¼¼ ¹ø° °úÁ¦¿¡ ´ëÇÑ ÀÚ·á ¾ò±â (3) ¼ö°­»ý 2005.03.24 1394
62   ¢º[´äº¯] R2Çؼ®¿¡ ´ëÇÑ Áú¹® ·ù±Ù°ü 2005.04.04 1395
61   ¢º[´äº¯] ¿À´Ã ¼ö¾÷Áß¿¡.. ·ù±Ù°ü 2005.04.13 1400
60 °úÁ¦ ³ª¿Â °ÍÀÌ ÀÖ½À´Ï±î? (5) ¼ö°­»ý 2005.03.16 1414
59   ¢º[´äº¯] Parametric Bootstrapping °ü... ·ù±Ù°ü 2005.05.03 1420
58 ½Ã°¡¿Í Á¾°¡ÀÇ Â÷ÀÌÁ¡ (2) ±Ã±ÝÀÌ 2005.03.28 1424
57   ¢º[´äº¯] i.i.d.¿¡ ´ëÇØ... ·ù±Ù°ü 2005.04.11 1433
56   ¢º[´äº¯] doubling strategy ¿¡ ´ëÇØ ·ù±Ù°ü 2005.06.02 1438
55 °æÅë ¼÷Á¦ 1 t.a 2005.03.29 1454
54 ¼÷Á¦Áß¿¡ ±Ã±ÝÇÑ »çÇ× (3) ¼ö°­»ý 2005.03.25 1455
53 KOSPI200 ¼±¹°°ú ¿É¼ÇÀº ÀÚ·á°¡ 1³âÄ¡... (2) ¼ö°­»ý 2005.03.28 1458
52 Parametric Bootstrapping °ü·Ã Áú¹®... ¼ö°­»ý 2005.05.02 1460




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