STAT244.Lecture.03 10

STAT244.Lecture.03 10 - ACD model (Duration Model) Let xi =...

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ACD model (Duration Model) I Let x i = t i - t i - 1 ; E ( x i | x i - 1 , . . . , x 1 ) = ψ i ( x i - 1 , . . . , x 1 ) = ψ i . I Model: x i = ψ i ± i ; ± i i . i . d . ψ i = ω + p X j =1 α j x t - j + q X j =1 β j ψ t - j ( ACD ( p , q )) I If ± exp , EACD; ± Weibull , WACD etc; WACD(2,2) is quite often
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This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

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