The Lagrange Multiplier (LM) test is one of the principal tools to detect ARCH and GARCH effects in financial data analysis. However, when the underlying data are non-normal, which is often the case in practice, the asymptotic LM test, based on the 2-approximation of critical values, is ...
然后重点研究了子问题奇异值分解、基于增广拉格朗日乘子(augmented Lagrange multiplier,ALM)... 安振英 - 南京邮电大学 被引量: 4发表: 2013年 An inertial proximal partially symmetric ADMM-based algorithm for linearly constrained multi-block nonconvex optimization problems with applications Moreover, some ...
fiedforallpossibleuncertaintieswithintheprescribeduncertaintysets.UnlikethetraditionalLagrangemultipliercharacterizationswithoutdatauncer-tainty,forconstrainedbestapproximationproblemsinthefaceuncertainty,weshowthatthestrongconicalhullintersectionproperty(strongCHIP)aloneisnotsuffi-cienttoguaranteetheLagrangemultiplier...
robust lagrange multiplier test for detecting archgarch effect using permutation and bootstrap 格式:PDF 页数:22 上传日期:2017-02-22 10:16:53 浏览次数:14 下载积分:2000 加入阅读清单 0%还剩21 页未读,是否继续阅读? 此文档由 5020jhnu 分享于 2017-02-22...
Unlike the traditional Lagrange multiplier characterizations without data uncertainty, for constrained best approximation problems in the face uncertainty, we show that the strong conical hull intersection property (strong CHIP) alone is not sufficient to guarantee the Lagrange multiplier characterizations. We...
Lagrange Multiplier Test Diagnostics for Spatial Dependence and Spatial Heterogeneity Particular attention is given to tests for spatial residual autocorrelation in the presence of spatially lagged dependent variables and in the presence of heteroskedasticity. The tests are formally derived and illustrated in...