摘要
Motivatedbythedoubleautoregressivemodelwithorderp(DAR(p)model),inthispaper,westudythemovingaveragemodelwithanalternativeGARCHerror.ThemodelisanextensionfromDAR(p)modelbylettingtheorderpgoestoinfinity.Thequasimaximumlikelihoodestimatoroftheparametersinthemodelisshowntobeasymptoticallynormal,withoutanystrongmomentconditions.Simulationresultsconfirmthatourestimatorsperformwell.WealsoapplyourmodeltostudyarealdatasetandithasbetterfittingperformancecomparedtoDARmodelfortheconsidereddata.
出版日期
2018年02月12日（中国期刊网平台首次上网日期，不代表论文的发表时间）
