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- W2348103639 abstract "To meet the necessary conditions of innovation in the ACD model and non-pseudo-likelihood requirement by using the Kalman filter,this paper improves traditional skewed distribution.Then,LN-ACD model is constructed,whose no-conditional expected value,variance and the constraints of parameter are obtained.Of course,this paper proves the basic ARAM property in LN-ACD model just like the classic ACD model.To avoid the parameter constraints in the LN-ACD model,this paper further proposes the LN-LOG-ACD model,proves its ARAM property.For fluctuations in the state equation of the LN-LOG-ACD model is a Gaussian process disturbance,the solution is a non pseudo likelihood by using the Kalman filter.At last,this paper validates some good performance in this new model from different angels based on three simulation data produced by the ACD model using three kinds of distribution." @default.
- W2348103639 created "2016-06-24" @default.
- W2348103639 creator A5079887660 @default.
- W2348103639 date "2011-01-01" @default.
- W2348103639 modified "2023-09-23" @default.
- W2348103639 title "LN-ACD and LN-LOG-ACD Model and Its Estimation Based on the Improved Skewed Distribution of Innovation" @default.
- W2348103639 hasPublicationYear "2011" @default.
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