Bounds for the probability distribution function of the linear ACD process

被引：1
|
作者：
Fernandes, M [1 ]
机构：
[1] Fdn Getulio Vargas, Grad Sch Econ, BR-22253900 Rio De Janeiro, Brazil
来源：
STATISTICS & PROBABILITY LETTERS | 2004年 / 68卷 / 02期
关键词：
autoregressive conditional duration model; distribution lower bound; financial duration analysis; nonlinear models;
D O I：
10.1016/j.spl.2004.02.008
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p,q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than the upper bound. (C) 2004 Elsevier B.V. All rights reserved.
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页码：169 / 176
页数：8
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