Title :
Parameter estimation using ECM algorithm in ARCH model
Author :
Li, Lingling ; Shan, Rui
Author_Institution :
Coll. of Sci., Yanshan Univ., Qinhuangdao, China
Abstract :
Based on ECM algorithm to estimate parameters under the censored data, the article has given an algorithm of logarithmic normal distribution under the random censored data. We know that ARCH model can be approximated as normally distributed. Parameter estimation using logarithm likelihood estimate Algorithm in ARCH model we have got its iterative formula. Finally, there has given examples using MATLAB to further explain the application of ECM algorithm in financial time series.
Keywords :
iterative methods; maximum likelihood estimation; normal distribution; parameter estimation; ARCH model; ECM algorithm; MATLAB; financial time series; iterative formula; logarithm likelihood estimation algorithm; logarithmic normal distribution; parameter estimation; random censored data; Algorithm design and analysis; Approximation algorithms; Data models; Electronic countermeasures; Gaussian distribution; Mathematical model; Parameter estimation; ARCH model; ECM algorithm; logarithm likelihood estimate; the normal distribution;
Conference_Titel :
Multimedia Technology (ICMT), 2011 International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-61284-771-9
DOI :
10.1109/ICMT.2011.6002471
