Jos_von_Asmuth_Thesis.pdf - repository

jÉåó~åíÜÉëW=ëçÑíï~êÉ=Ñçê=ÖêçìåÇï~íÉê=Ç~í~=−1Θ (B) = δ (B) ω(B)(7.6)=ïÜÉêÉ= δ (B) =áë=íÜÉ=~ìíçêÉÖêÉëëáîÉ=çéÉê~íçê=Eåçí=íç=ÄÉ=ÅçåÑìëÉÇ=ïáíÜ=íÜÉ=aáê~Å=ÇÉäí~=ÑìåÅíáçåFI=~åÇ= ω (B) =íÜÉ=ãçîáåÖ=~îÉê~ÖÉ=çéÉê~íçêK=qÜÉ=~Åíì~ä=Åçãéìí~íáçå=çÑ= ht=áë=ÇçåÉ=êÉÅìêëáîÉäó=~ëW==h − d − δ ( h − d) − ... − δ ( h − d) = ω p + ω p + ... + ω p(7.7)t 1 t−1 nr t−nr 0 t 1 t−1ns t−nsïÜÉêÉ= nr =~åÇ= ns =ÇÉÑáåÉ=íÜÉ=åìãÄÉê=çÑ=é~ê~ãÉíÉêë=çê=çêÇÉê=çÑ=íÜÉ=íê~åëÑÉê=ÑìåÅíáçåK=^äíÜçìÖÜ=^oj^=ãçÇÉäë=~êÉ=ìëÉÇ=áå=~=î~êáÉíó=çÑ=ëÅáÉåÅÉë=~åÇ=~êÉ=ìëì~ääó=éÉêÅÉáîÉÇ=~ë=ÚÄä~Åâ=ÄçñÛ=ãçÇÉäëI=^ouENF=ãçÇÉäë=ã~ó=ÄÉ=ëÉÉå=~ë=êÉéêÉëÉåíáåÖ=íÜÉ=éÜóëáÅë=çÑ=~=ëáãéäÉ=ëçáä=Åçäìãå=xhåçííÉêë=~åÇ=_áÉêâÉåëI=OMMMz=~åÇ=~å=^ouE nr F=ãçÇÉä=~ë=êÉéêÉëÉåíáåÖ=~=EäáåÉ~êF=ÇáëíêáÄìíÉÇ=ÖêçìåÇï~íÉê=ãçÇÉä=ïáíÜ= nr ÅÉääë=EëÉÉ=ëÉÅíáçå=OKPKNFK=qÜÉ=êÉÅìêëáîÉ=Åçãéìí~íáçå=çÑ=ETKTF=áë=Åçãéìí~íáçå~ääó=äÉëë=ÇÉã~åÇáåÖ=íÜ~å=íÜÉ=ÇáêÉÅí=Éî~äì~íáçå=çÑ=ETKPF=çê=ETKQF=~åÇ=~ë=^oj^=ãçÇÉäë=Ü~îÉ=~=äçåÖ=ÜáëíçêóI=íÜáë=ï~ë=éêçÄ~Ääó=~å=áãéçêí~åí=~Çî~åí~ÖÉK=táíÜ=ãçÇÉêå=íÉÅÜåçäçÖóI=ÜçïÉîÉêI=íÜáë=áë=åçí=~å=áëëìÉ=~åóãçêÉI=~åÇ=ÅçåëÉèìÉåíäó=~ë=~=íÜáêÇ=~ééêç~ÅÜI= Θ =~åÇLçê=θ =Å~å=~äëç=ÄÉ=~ééêçñáã~íÉÇ=áå=çíÜÉê=ï~óëK==7.2.3 The PIRFICT method and use of distribution functionssçå=^ëãìíÜ=Éí=~äK=xOMMOz=éêÉëÉåíÉÇ=~=åÉï=ãÉíÜçÇ=çÑ=íáãÉ=ëÉêáÉë=~å~äóëáëI=Å~ääÉÇ=íÜÉ=mfocf`q=ãÉíÜçÇK==^=ÇáÑÑÉêÉåÅÉ=ïáíÜ=^ofj^JíóéÉ=~åÇ=âáåÇêÉÇ=íáãÉ=ëÉêáÉë=ãçÇÉäëI=ïÜÉíÜÉê=ÇáëÅêÉíÉ=çê=Åçåíáåìçìë=íáãÉ=xÉKÖKI=_êçÅâïÉääI=OMMNX=vçìåÖ=~åÇ=d~êåáÉêI=OMMSzI=áë=íÜ~í=áí=áë=Ñçêãìä~íÉÇ=~ë=~=EÅçåíáåìçìë=íáãÉF=Åçåîçäìíáçå=áåíÉÖê~ä=ETKPFI=áåëíÉ~Ç=çÑ=~ë=~=íÉãéçê~ä=ÇáÑÑÉêÉåÅÉ=çê=ÇáÑÑÉêÉåíá~ä=Éèì~íáçåK=få=íÜáë=Ñçêãìä~íáçåI=θ =ã~ó=áå=éêáåÅáéäÉ=ÄÉ=~å=~êÄáíê~êó=Åçåíáåìçìë=ã~íÜÉã~íáÅ~ä=ÑìåÅíáçå=Ü~îáåÖ=~=âåçïå=áåíÉÖê~äK=qÜÉ=mfocf`q=ãÉíÜçÇ=Ü~ë=ëÉîÉê~ä=éê~ÅíáÅ~ä=~Çî~åí~ÖÉë=xsçå=^ëãìíÜ=Éí=~äKI=OMMOzI=~åÇ=Ñ~Åáäáí~íÉë=íÜÉ=áåíÉÖê~íáçå=çÑ=Ç~í~=~åÇ=éÜóëáÅ~ääóJÄ~ëÉÇ=ãÉíÜçÇë=áå=íïç=ï~óëK=cáêëíI=íÜÉ=éÜóëáÅ~ä=ÄÉÜ~îáçê=çÑ=~=ëóëíÉã=ã~ó=ÄÉ=áãéäÉãÉåíÉÇ=ÇáêÉÅíäó=áå=íÜÉ=ãçÇÉä=~ë=êÉëéçåëÉ=ÑìåÅíáçå=θ I=Ñçê=Éñ~ãéäÉ=~ë=~å~äóíáÅ=ëçäìíáçå=íç=íÜÉ=ÇáÑÑÉêÉåíá~ä=Éèì~íáçå=áå=~=ëéÉÅáÑáÅ=ëáíì~íáçåK=bäÉãÉåí~êó=éÜóëáÅ~ä=éêáåÅáéäÉë=ã~ó=ÄÉ=ìëÉÇ=íç=êÉÇìÅÉ=íÜÉ=ÇÉÖêÉÉë=çÑ=ÑêÉÉÇçã=áå==íÜÉ=ãçÇÉäI=ÉKÖKI=Äó=äáãáíáåÖ=íÜÉ=ëáÖå=çÑ=íÜÉ=ÉÑÑÉÅí=íç=ÉáíÜÉê=éçëáíáîÉ=figure 7.2: Skewed impulse response function with mean2çê=åÉÖ~íáîÉ=çê=Äó=ëÜ~êáåÖ= µ and variance σ .===NRT=KKÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁÁKÁK