منابع مشابه
infinite dimensional garch models
مدلهای گارچ در فضاهای هیلبرت پایان نامه حاضر شامل دو بخش می باشد. در قسمت اول مدلهای اتورگرسیو تعمیم یافته مشروط به ناهمگنی واریانس در فضاهای هیلبرت را معرفی، مفاهیم ریاضی مورد نیاز در تحلیل این مدلها در دامنه زمان را مطرح کرده و آنها را مورد بررسی قرار می دهیم. بر اساس پیشرفتهایی که اخیرا در زمینه تئوری داده های تابعی و آماره های عملگری ایجاد شده است، فرآیندهایی که دارای مقادیر در فضاهای ...
15 صفحه اولSupergaussian Garch Models
In this paper, we introduce supergaussian generalized autoregressive conditional heteroscedasticity (GARCH) models for speech signals in the short-time Fourier transform (STFT) domain. We address the problem of speech enhancement, and show that estimating the variances of the STFT expansion coefficients based on GARCH models yields higher speech quality than by using the decision-directed metho...
متن کاملGaussian kernel GARCH models
This paper aims to investigate a Bayesian sampling approach to parameter estimation in the GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This mixture density has the form of a kernel density estimator of the errors with its bandwidth being the standard deviat...
متن کاملSmooth-Transition GARCH Models
The asymmetric response of conditional variances to positive versus negative news has been traditionally modeled with threshold specifications that allow only two possible regimes: low or high volatility. In this paper, the possibility of intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One important property of this...
متن کاملSemiparametric Multivariate Garch Models
Estimation of multivariate GARCH models is usually carried out by quasi maximum likelihood (QMLE), for which recently consistency and asymptotic normality have been proven under quite general conditions. However, there are to date no results on the efficiency loss of QMLE if the true innovation distribution is not multinormal. We investigate this issue by suggesting a nonparametric estimation o...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2015
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2015.06.007