【摘要】 随机波动(SV)模型是一种重要的具有隐性波动的时间序列模型。本文在对SV模型进行Cook局部影响分析的基础上,探讨方法对参数估计精度的稳健性,从而评价局部影响分析方法应用在时间序列模型的优劣。更多还原

【Abstract】 The Stochastic Volatility models (SV model) is a kind of time series model which can reflect fluctuation that can not be observed directly. Based on the analysis of Cook partial influence to SV model, the paper discusses the robustness of the method to the precision of parameters, and evaluates the advantages and disadvantages of the method to time series model更多还原