3a Estimation flexible probabilities - Generalized method of moments.pdf

下载文档

3
0
约3.85千字
约 7页
2017-04-13 发布于江苏
举报
版权申诉
保障服务

3a Estimation flexible probabilities - Generalized method of moments.pdf

1、本文档共7页，可阅读全部内容。
2、有哪些信誉好的足球投注网站（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。

3a Estimation flexible probabilities - Generalized method of moments

The “Checklist” 2a. Estimation: Flexible Probabilities Generalized Method of Moments Generalized Method of Moments ? Topic: parametric estimation of the invariants distribution based on the Generalized Method of Moments ? We introduce the Method of Moments with Flexible Probabilities estimate ? We extend to Flexible Probabilities the Generalized Method of Moments with exact specification ARPM - Advanced Risk and Portfolio Management - arpm.co This update: Feb-07-2017 - Last update The “Checklist” 2a. Estimation: Flexible Probabilities Generalized Method of Moments Method of Moments Canonical Method of Moments A parametric assumption on the distribution of the invariants is εt ～ fε ∈ {fθ}θ∈Θ (2a.95) ? θ ≡ (θ1, . . . , θl?)′, l? × 1 vector ? Θ ? Rl?, discrete or continuous ARPM - Advanced Risk and Portfolio Management - arpm.co This update: Feb-07-2017 - Last update The “Checklist” 2a. Estimation: Flexible Probabilities Generalized Method of Moments Method of Moments Canonical Method of Moments The first l? cross moments of the invariants can be expressed by l? equations fε ≡ fθε , E {εi,tεj,t · · · } ≡ hi,j,...(θε) (2a.96) The Method of Moments (MM) estimate θ? MM ε of θε is the solution of f?MMε ≡ fθ?MMε , 1 t? ∑t? t=1i,tj,t · · · ≡ hi,j,...(θ? MM ε ) (2a.101) where {1, . . . , t?} is the time series of realized invariants. See also Example 2a.24 ARPM - Advanced Risk and Portfolio Management - arpm.co This update: Feb-07-2017 - Last update The “Checklist” 2a. Estimation: Flexible Probabilities Generalized Method of Moments Method of Moments Method of Moments with Flexible Probabilities Consider Flexible Probabilities {pt}t?t=1 rather than the equal probability weights pt ≡ 1/t?. The Method of Moments with Flexible Probabilities (MMFP) estimate θ? MMFP ε of θε is f?MMFPε ≡ fθ?MMFPε , ∑t? t=1pti,tj,t · · · ≡ hi,j,...(θ? MMFP ε ) (2a.102) See also Example 2a.25 ARPM - Advanced Risk and Portfolio Management - arpm.co This update: Feb-07-2017 - Last update