序约束下ARCH(0,2)模型参数估计与检验

Estimation and Test of ARCH(0,2) Model under Order Restriction

摘要: 本文研究了平稳ARCH（0,2）模型未知参数α的极大似然估计及有序约束时α的极大似然估计的渐近性质,给出了参数序关系（α₁≥α₂）的检验方法,并得出了似然比检验统计量的渐近分布.用二次规划的算法,给出求各种情况下参数α的极大似然估计的数值算法.

Abstract: In this paper, we prove the asymptotic property of the maximum likelihood estimators of conditional Gaussian ARCH（0,2） under order restriction, and find the limit distribution of likelihood ratio test statistics. Basing on quardratic programming method, we also present a numerical algorithm about MLE.