向量分整序列非线性变换的研究

自Granger提出整数阶单整向量序列的协整概念以来,协整理论在国内外学者的共同努力下不断得到完善。关于向量时间序列的分数维单整的研究主要集中在分整的线性协整的存在性条件及性质研究。文中通过引入交换条件数学期望算法(ACE),研究分整时间序列的非线性变换的协整性,对最优非线性变换函数进行估计。

To Study on the Nonlinear Transformation of Vector Fractional Integration Time Series

Since Granger raised the concept of integration of integrated process, the theory of cointegration has been developed enormously with the efforts of scholars from all over the world. The research of fractional integrated time series mainly focused on the conditions for the linear cointegration and its properties. The algorithm of ACE is advanced and then is used to discusses the cointegration of nonlinear transformation of FI time series. The estimation of the optimal nonlinear transformation functions is also given.