arfima matlab,基于ARFIMA-GARCH模型的混成检验

3 混成检验

设$\theta=(\gamma^{'}, \delta^{'})^{'}$是ARFIMA$(p, q, d)$-GARCH$(r, s)$模型的未知参数, 它的真实值是$\theta_{0}$, 其中$\gamma=\left(d, \phi_{1}, \phi_{2}, \cdots, \phi_{p}, \psi_{1}, \psi_{2}, \cdots, \psi_{q}\right)^{'}$, $\delta=\left(\alpha_{0}, \cdots, \alpha_{r}, \beta_{1}, \cdots, \beta_{s}\right)^{'}$.令$l=p+q+r+s+2$, 那么$\theta$是一个$l$维向量, 参数空间为$\Theta=\Theta_{\gamma}\times\Theta_{\delta}$, 其中$\Theta_{\gamma}\subset\mathbb{R}^{p+q+1}$, $\Theta_{\delta}\subset\mathbb{R}^{r+s+1}_{0}$, $\mathbb{R}=\left(-\infty, +\infty\right)$, $\mathbb{R}_{0}=\left[0, +\infty\right)$.设$\theta_{0}$是$\Theta$中的一个内点, 定义$\alpha(B)=\sum\limits_{i=1}^{r}\alpha_{i}B^{i}$, $\beta(B)=1-\sum\limits_{j=1}^{s}\beta_{j}B^{j}$.

假设1  $-1/2

假设2  对于每个$\theta\in\Theta$, $\alpha(B)$和$\beta(B)$没有公共根, $\alpha(1)\neq0$, $\alpha_{r}+\beta_{s}\neq0$, $\sum\limits_{j=1}^{s}\beta_{j}<1$.

假设1表明了$\{y_{t}\}$的平稳可逆性, 当$-1/2

$

\begin{align}

& \Phi (B){{(1-B)}^{d}}{{y}_{t}}=\Psi (B){{\varepsilon }_{t}}(\gamma ), \\

& {{\varepsilon }_{t}}(\gamma )={{\eta }_{t}}(\theta )\sqrt{{{h}_{t}}(\theta )},{{h}_{t}}(\theta )={{\alpha }_{0}}+\sum\limits_{i=1}^{r}{{{\alpha }_{i}}}\varepsilon _{t-i}^{2}(\theta )+\sum\limits_{j=1}^{s}{{{\beta }_{j}}}{{h}_{t-j}}(\theta ). \\

\end{align}

$

设$\hat{\theta}_{n}=(\hat{\gamma}_{n}^{'}, \hat{\delta}_{n}^{'})^{'}$, 由文献[$\theta_{0}$的拟极大指数似然估计被定义为

$

{{{\hat{\theta }}}_{n}}=\arg \underset{\theta \in \Theta }{\mathop{\rm{min}}}\,{{L}_{n}}(\theta ),{{L}_{n}}(\theta )=\sum\limits_{t=1}^{n}{\left[ \log \sqrt{{{h}_{t}}(\theta )}+\frac{|{{\varepsilon }_{t}}(\gamma )|}{\sqrt{{{h}_{t}}(\theta )}} \right]}.

$

假设3  $\eta_{t}$的中位数等于0, $E|\eta_{t}|=1$, ${\rm Var}(\eta_{t}^2)=\sum\limits_{t=1}^{n}\eta_{t}^20, \sup\limits_{x\in \mathbb{R}}f(x)

假设4  $\varepsilon_{t}$是严平稳遍历过程, 且$E\varepsilon_{t}^2

假设5  $\sqrt{n}(\hat{\theta}_{n}-\theta_{0})=O_{p}(1)$.

假设3是LAD类估计的一般性条件, 见文献[$\sum\limits_{i=1}^{r}\alpha_{i}+\sum\limits_{j=1}^{s}\beta_{j}<1$, 见文献[

$

\sqrt{n}\left(\hat{\theta}_n-\theta_0\right)\rightarrow_d\left(0, \frac{1}{4}\Sigma^{-1}_0\Omega_{0}\Sigma^{-1}_0\right),

$

其中

$

\begin{array}{l}

{\Omega _0} = E\left[ {\frac{1}{{{h_t}({\theta _0})}}\frac{{\partial {\varepsilon _t}({\gamma _0})}}{{\partial \theta }}\frac{{\partial {\varepsilon _t}({\gamma _0})}}{{\partial {\theta ^T}}}} \right] + \frac{{E\eta _t^2 - 1}}{4}E\left[ {\frac{1}{{h_t^2({\theta _0})}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}{{\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}}^\mathit{T}}} \right],\\

{\Sigma _0} = f(0)E\left[ {\frac{1}{{{h_t}({\theta _0})}}\frac{{\partial {\varepsilon _t}({\gamma _0})}}{{\partial \theta }}\frac{{\partial {\varepsilon _t}({\gamma _0})}}{{\partial {\theta ^T}}}} \right] + \frac{1}{8}E\left[ {\frac{1}{{h_t^2({\theta _0})}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}{{\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}}^T}} \right].

\end{array}

$

定义残差$\hat{\eta}_{t}=\eta_{t}(\hat{\theta}_{n})$, 那么滞后$\iota$平方残差自相关函数被定义为

$

\hat{\rho}_{\iota}^{*}

=\frac{\sum\limits_{t=\iota+1}^{n}(\hat{\eta}_{t}^2-\bar{\eta})(\hat{\eta}_{t-\iota}^2-\bar{\eta})}{\sum\limits_{t=1}^{n}(\hat{\eta}_{t}^2-\bar{\eta})^{2}},

$

其中$\bar{\eta}=\frac{1}{n}\sum\limits_{t=1}^{n}\hat{\eta}_{t}^2$, 由假设5可知, $\hat{\theta}_{n}-\theta_{0}=o_{p}(1)$.在假设1-4下, 在文献[

$

\bar{\eta}=\mu+o_{p}(1), \frac{1}{n}\sum\limits_{t=\iota+1}^{n}(\hat{\eta}_{t}^2-\bar{\eta})^{2}=\sigma_{0}^{2}+o_{p}(1),

$

其中$\mu=E\eta_{t}^2$, 因此理论上只需要考虑

$

\hat{\rho}_{\iota}=\frac{1}{n\sigma_{0}^{2}}\sum\limits_{t=\iota+1}^{n}(\hat{\eta}_{t}^2-\mu)(\hat{\eta}_{t-\iota}^2-\mu).

$

(3.1)

设$C=\left(C_{1}, C_{2}, \cdots, C_{M}\right)^{'}$, $\hat{C}=\left(\hat{C_{1}}, \hat{C_{2}}, \cdots, \hat{C_{M}}\right)^{'}$, 其中$M$为正整数, $\iota=1, 2, \cdots, M$, $C_{\iota}=\frac{1}{n}\sum\limits_{t=\iota+1}^{n}\left(\eta_{t}^2-\mu\right)\left(\eta_{t-\iota}^2-\mu\right)$, $\hat{C}_{\iota}=\frac{1}{n}\sum\limits_{t=\iota+1}^{n}\left(\hat{\eta}_{t}^2-\mu)(\hat{\eta}_{t-\iota}^2-\mu\right)$, 由泰勒展示, 有

$

\hat{C}\simeq C+\frac{\partial C}{\partial

\theta}\left(\hat{\theta}_{n}-\theta_{0}\right),

$

(3.2)

其中$\partial C/\partial \theta=\left(\partial C_{1}/\partial \theta, \partial C_{2}/\partial \theta, \cdots, \partial C_{m}/\partial \theta\right)^{'}$,

$

\begin{align}

& \frac{\partial {{C}_{\iota }}}{\partial \theta }=\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\frac{\partial \left( \eta _{t}^{2}-\mu \right)}{\partial \theta }}(\eta _{t-\iota }^{2}-\mu )+\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{(\eta _{t}^{2}-\mu )}\frac{\partial (\eta _{t-\iota }^{2}-\mu )}{\partial \theta } \\

& \ \ \ \ \ \ \ \ =\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\frac{\partial (\frac{\varepsilon _{t}^{2}}{{{h}_{t}}}-\mu )}{\partial \theta }}\left( \frac{\varepsilon _{t-\iota }^{2}}{{{h}_{t}}}-\mu \right)+\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\left( \frac{\varepsilon _{t}^{2}}{{{h}_{t}}}-\mu \right)}\frac{\partial (\frac{\varepsilon _{t-\iota }^{2}}{{{h}_{t-\iota }}}-\mu )}{\partial \theta } \\

& \ \ \ \ \ \ \ \ =\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\left( \frac{2{{\varepsilon }_{t}}}{{{h}_{t}}}\frac{\partial {{\varepsilon }_{t}}}{\partial \theta }-\frac{\varepsilon _{t}^{2}}{h_{t}^{2}}\frac{\partial {{h}_{t}}}{\partial \theta } \right)}\left( \frac{\varepsilon _{t-\iota }^{2}}{{{h}_{t-\iota }}}-\mu \right) \\

& \ \ \ \ \ \ \ \ \ \ \ +\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\left( \frac{\varepsilon _{t}^{2}}{{{h}_{t}}}-\mu \right)}\left( \frac{2{{\varepsilon }_{t-\iota }}}{{{h}_{t-\iota }}}\frac{\partial {{\varepsilon }_{t-\iota }}}{\partial \theta }-\frac{\varepsilon _{t-\iota }^{2}}{h_{t-\iota }^{2}}\frac{\partial {{h}_{t-\iota }}}{\partial \theta } \right) \\

& \ \ \ \ \ \ \ \ =\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\frac{2{{\varepsilon }_{t}}}{{{h}_{t}}}}\frac{\partial {{\varepsilon }_{t}}}{\partial \theta }\left( \frac{\varepsilon _{t-\iota }^{2}}{{{h}_{t-\iota }}}-\mu \right)-\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\frac{\varepsilon _{t}^{2}}{h_{t}^{2}}}\frac{\partial {{h}_{t}}}{\partial \theta }\left( \frac{\varepsilon _{t-\iota }^{2}}{{{h}_{t-\iota }}}-\mu \right) \\

&\ \ \ \ \ \ \ \ \ \ \ +\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\left( \frac{\varepsilon _{t}^{2}}{{{h}_{t}}}-\mu \right)}\frac{2{{\varepsilon }_{t-\iota }}}{{{h}_{t-\iota }}}\frac{\partial {{\varepsilon }_{t-\iota }}}{\partial \theta }-\frac{1}{n}\sum\limits_{t=\iota +1}^{n}{\left( \frac{\varepsilon _{t}^{2}}{{{h}_{t}}}-\mu \right)}\frac{\varepsilon _{t-\iota }^{2}}{h_{t-\iota }^{2}}\frac{\partial {{h}_{t-\iota }}}{\partial \theta }, \\

\end{align}

$

由遍历定理可知, 上式中最后一个等式的第一、三、四项都为$0$, 因此有

$

\frac{\partial C_{\iota}}{\partial

\theta}=-\frac{1}{n}\sum\limits_{t=\iota+1}^n\frac{\varepsilon_{t}^2}{h_{t}^2}\frac{\partial

h_{t}}{\partial

\theta}\left(\frac{\varepsilon_{t-\iota}^2}{h_{t-\iota}}-\mu\right)=-\frac{1}{n}\sum\limits_{t=\iota+1}^n\frac{\eta_{t}^2\left(\eta_{t-\iota}^2-\mu\right)}{h_{t}}\frac{\partial

h_{t}}{\partial \theta},

$

因此当$n\rightarrow \infty$时, $ \frac{\partial C_{\iota}}{\partial \theta}\overset{\text{a.s.}}{\longrightarrow}-\mu X_{\rho\iota}, $其中$X_{\rho\iota}=E\left[\frac{\eta_{t-\iota}^2-\mu}{h_{t}}\frac{\partial h_{t}}{\partial \theta}\right]$.令$X_{\rho}=\left(X_{\rho1}, X_{\rho2}, \cdots, X_{\rho M}\right)^{'}$, 则等式(3.2) 可写成

$

\hat{C}\simeq C+\left(-\mu

X_{\rho}\right)\left(\hat{\theta}_{n}-\theta_{0}\right).

$

(3.3)

设$\hat{\rho}=\left(\hat{\rho}_{1}, \hat{\rho}_{2}, \cdots, \hat{\rho}_{M}\right)^T$, $\rho=\left(\rho_{1}, \rho_{2}, \cdots, \rho_{M}\right)^T$, 由等式(3.1) 和等式(3.3), 有

$

\sqrt{n}\hat{\rho}=\sqrt{n}\rho+\sigma_{0}^{-2}\left(-\mu

X_{\rho}\right)\sqrt{n}\left(\hat{\theta}_{n}-\theta_{0}\right)+o_{p}(1).

$

(3.4)

定理1  如果假设1-5成立, 那么

$

\sqrt{n}\hat{\rho}=\left(\hat{\rho}_{1}, \hat{\rho}_{2}, \cdots, \hat{\rho}_{M}\right)^{'}\longrightarrow_{d}N\left(0, V\right),

$

其中

$

\begin{align}

& V={{1}_{M}}+\frac{{{\mu }^{2}}}{4\sigma _{0}^{4}}{{X}_{\rho }}\Sigma _{0}^{-1}{{\Omega }_{0}}\Sigma _{0}^{-1}X_{\rho }^{T}-\frac{\mu {{\kappa }_{1}}}{2\sigma _{0}^{4}}{{X}_{\rho }}\Sigma _{0}^{-1}X_{\rho }^{T}+\frac{\mu {{\kappa }_{2}}}{2\sigma _{0}^{4}}\left( X_{\rho }^{*}\Sigma _{0}^{-1}X_{\rho }^{T}+X_{\rho }^{T}\Sigma _{0}^{-1}X_{\rho }^{*} \right), \\

& X_{\rho }^{*}={{\left( X_{\rho 1}^{*}, X_{\rho 2}^{*}, \cdots, X_{\rho M}^{*} \right)}^{\mathit{'}}}, X_{\rho \iota }^{*}=E\left[\frac{\eta _{t-\iota }^{2}-\mu }{\sqrt{{{h}_{t}}}}\frac{\partial {{\varepsilon }_{t}}({{\theta }_{0}})}{\partial \theta } \right], \\

& {{\kappa }_{1}}=E\left[\eta _{t}^{2}(|{{\eta }_{t}}|-1) \right], {{\kappa }_{2}}=E\left[\rm{sgn}({{\eta }_{t}})\eta _{t}^{2} \right]. \\

\end{align}

$

证  由文献[$ \sqrt{n}C\longrightarrow_{d}N\left(0, \sigma_{0}^{4}1_{M}\right), $其中$l_{M}$为$M\times M$阶单位矩阵.令

$

D_{t}=\frac{|\eta_{t}|-1}{4h_{t}}\frac{\partial

h_{t}(\theta_0)}{\partial \theta}-\frac{{\rm

sgn}(\eta_{t})}{2\sqrt{h_t}}\frac{\partial

\varepsilon_t(\theta_0)}{\partial \theta},

$

由文献[

$

\sqrt{n}\left(\hat{\theta}_n-\theta_0\right)=\frac{\Sigma_0^{-1}}{\sqrt{n}}\sum\limits_{t=1}^nD_{t}+o_p(1),

$

因此由Mann-Wald device和鞅差中心极限定理[可知

$

\begin{align}

& \ \ \ \rm{Cov}\left( \sqrt{\mathit{n}}\rm{(}{{{\mathit{\hat{\theta }}}}_{\mathit{n}}}\mathit{-}{{\mathit{\theta }}_{\rm{0}}}\rm{)}\mathit{,}\sqrt{\mathit{n}}\mathit{C} \right)=\mathit{E}\left[ \sqrt{\mathit{n}}\rm{(}{{{\mathit{\hat{\theta }}}}_{\mathit{n}}}\mathit{-}{{\mathit{\theta }}_{\rm{0}}})\cdot \sqrt{\mathit{n}}{{\mathit{C}}^{\mathit{T}}} \right] \\

& =\mathit{E}\left[ \frac{\Sigma _{0}^{-1}}{\sqrt{\mathit{n}}}\sum\limits_{\mathit{t}=1}^{\mathit{n}}{{{\mathit{D}}_{\mathit{t}}}}\cdot \sqrt{\mathit{n}}{{\mathit{C}}^{\mathit{T}}} \right]=\Sigma _{0}^{-1}\mathit{E}\left[ \sum\limits_{\mathit{t}=1}^{\mathit{n}}{{{\mathit{D}}_{t}}}\cdot {{\mathit{C}}^{\mathit{T}}} \right], \\

\end{align}

$

又

$

\begin{array}{l}

E[\sum\limits_{t = 1}^n {{D_t}} \cdot {C_\iota }] = E\left[ {\sum\limits_{t = 1}^n {\left( {\frac{{|{\eta _t}| - 1}}{{4{h_t}}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }} - \frac{{{\rm{sgn}}({\eta _t})}}{{2\sqrt {{h_t}} }}\frac{{\partial {\varepsilon _t}({\theta _0})}}{{\partial \theta }}} \right)} \cdot } \right.\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\left. {\;\frac{1}{n}\sum\limits_{s = \iota + 1}^n {\left( {\eta _s^2 - \mu } \right)} \left( {\eta _{s - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; = \frac{1}{n}E\left[ {\sum\limits_{t = 1}^n {\left( {\frac{{|{\eta _t}| - 1}}{{4{h_t}}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}} \right)} \cdot \sum\limits_{s = \iota + 1}^n {\left( {\eta _s^2 - \mu } \right)} \left( {\eta _{s - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; - \frac{1}{n}E\left[ {\frac{{{\rm{sgn}}({\eta _t})}}{{2\sqrt {{h_t}} }}\frac{{\partial {\varepsilon _t}({\theta _0})}}{{\partial \theta }}) \cdot \sum\limits_{s = \iota + 1}^n {\left( {\eta _s^2 - \mu } \right)} \left( {\eta _{s - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; = \frac{1}{n}\sum\limits_{t = 1}^n {\sum\limits_{s = \iota + 1}^n E } \left[ {\frac{{|{\eta _t}| - 1}}{{4{h_t}}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}\left( {\eta _s^2 - \mu } \right)\left( {\eta _{s - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; - \frac{1}{n}\sum\limits_{t = 1}^n {\sum\limits_{s = \iota + 1}^n E } \left[ {\frac{{{\rm{sgn}}({\eta _t})}}{{2\sqrt {{h_t}} }}\frac{{\partial {\varepsilon _t}({\theta _0})}}{{\partial \theta }}\left( {\eta _s^2 - \mu } \right)\left( {\eta _{s - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; = \frac{1}{n}\sum\limits_{t = 1}^n E \left[ {\frac{{|{\eta _t}| - 1}}{{4{h_t}}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}\left( {\eta _t^2 - \mu } \right)\left( {\eta _{t - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; - \frac{1}{n}\sum\limits_{t = 1}^n E \left[ {\frac{{{\rm{sgn}}({\eta _t})}}{{2\sqrt {{h_t}} }}\frac{{\partial {\varepsilon _t}({\theta _0})}}{{\partial \theta }}\left( {\eta _t^2 - \mu } \right)\left( {\eta _{t - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; = E\left[ {\frac{{|{\eta _t}| - 1}}{{4{h_t}}}\frac{{\partial {h_t}({\theta _0})}}{{\partial \theta }}\left( {\eta _t^2 - \mu } \right)\left( {\eta _{t - \iota }^2 - \mu } \right)} \right]\\

\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;\; - E\left[ {\frac{{{\rm{sgn}}({\eta _t})}}{{2\sqrt {{h_t}} }}\frac{{\partial {\varepsilon _t}({\theta _0})}}{{\partial \theta }}\left( {\eta _t^2 - \mu } \right)\left( {\eta _{t - \iota }^2 - \mu } \right)} \right],

\end{array}

$

则$ E[\sum\limits_{t=1}^{n}D_t\cdot C_\iota] =\frac{\kappa_1}{4}X_{\rho\iota}-\frac{\kappa_2}{2}X_{\rho\iota}^*, $那么$ {\rm Cov}\left({\sqrt{n}(\hat{\theta}_n-\theta_0), \sqrt{n}C^T}\right)=\Sigma_0^{-1}E\left[\frac{\kappa_1}{4}X_{\rho}-\frac{\kappa_2}{2}X_{\rho}^*\right], $因此$\sqrt{n}\rho$的协方差为

$

\begin{eqnarray*}

&&{\rm var}\left(\sqrt{n}\rho\right)=\sigma_0^{-4}{\rm var}(\sqrt{n}\hat{C})\\

&=&\sigma_0^{-4}[{\rm var}\left(\sqrt{n}C\right)+{\rm

var}\left(-\mu

X_\rho\sqrt{n} \left(\hat{\theta}_n-\theta_0\right)\right)\\

&&+{\rm cov}\left(\sqrt{n}C, -\mu

X_\rho\sqrt{n}\left(\hat{\theta}_n-\theta_0\right)\right) +{\rm

cov}\left(-\mu

X_\rho\sqrt{n}\left(\hat{\theta}_n-\theta_0\right), \sqrt{n}C\right)]\\

&=&\sigma_0^{-4}[\sigma_0^{4}1_M+\mu^2X_\rho\frac{1}{4}\Sigma_0^{-1}\Omega_0\Sigma_0^{-1}X_\rho^{T}

-\mu\left(\frac{\kappa_1}{4}X_\rho-\frac{\kappa_2}{2}X_\rho^{*}\right)\Sigma_0^{-1}X_\rho^{T}\\

&&-\mu

X_\rho^{T}\Sigma_0^{-1}\left(\frac{\kappa_1}{4}X_\rho-\frac{\kappa_2}{2}X_\rho^{*}\right)]\\

&=&1_{M}+\frac{\mu^2}{4\sigma_{0}^{4}}X_{\rho}\Sigma_{0}^{-1}\Omega_{0}\Sigma_{0}^{-1}X_{\rho}^T

-\frac{\mu

\kappa_{1}}{2\sigma_{0}^{4}}X_{\rho}\Sigma_{0}^{-1}X_{\rho}^T

+\frac{\mu \kappa_{2}}{2\sigma_{0}^{4}}

\left(X_{\rho}^{*}\Sigma_{0}^{-1}X_{\rho}^T+X_{\rho}^T\Sigma_{0}^{-1}X_{\rho}^{*}\right),

\end{eqnarray*}

$

即完成了定理的证明.

在定理1中, 通过样本均值来估计$V$, 记为$\hat{V}$, 在假设1-4下, 表明$ \hat{V}=V+o_p(1), $因此由定理1, 下面的结论是直接成立的.

结论1  如果假设1-5成立, 那么当$n\rightarrow\infty$时, $ Q\left(M\right)=n\hat{\rho}^T\hat{V}^{-1}\hat{\rho}\longrightarrow_d\chi^2(M). $对于拟极大指数似然估计, 在结论1中称$Q\left(M\right)$为基于平方残差自相关函数的混成检验统计量, 并且可用$Q\left(M\right)$来诊断检验由拟极大指数似然估计拟合的ARFIMA-GARCH模型.