浙江大学学报（理学版）2026，Vol.53Issue(3)：355-361,7.DOI:10.3785/1008-9497.25001
ACD模型自加权M-估计的渐近性质及其应用
Asymptotics for the self-weighted M-estimation of ACD models with applications
摘要
Abstract
The self-weighted M-estimation(SM-estimation)for parameters of autoregressive conditional duration(ACD)model is proposed,and the strong consistency and asymptotic normality of this estimation are shown by allowing the variance of model errors to be infinite.The performances of SM-estimation,(quasi-)maximum likelihood estimation and least absolute deviation estimation are compared through numerical simulations,which demonstrate that the SM-estimation has the most robust performance when data exhibit heavy-tailed characteristics.Finally,an application of SM-estimation to the price duration modeling of Haier Smart Home stock is demonstrated,and the empirical results indicate that the SM-estimation outperforms other estimation methods.关键词
ACD模型/自加权M-估计/强相合性/渐近正态性/价格持续期Key words
autoregressive conditional duration model/self-weighted M-estimation/strong consistency/asymptotic normality/price duration分类
数理科学引用本文复制引用
傅可昂,胡佳,王子龙..ACD模型自加权M-估计的渐近性质及其应用[J].浙江大学学报（理学版）,2026,53(3):355-361,7.基金项目
浙江省自然科学基金项目(LY23A010001). （LY23A010001）
