Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors (Q1611570): Difference between revisions
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Latest revision as of 19:04, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors |
scientific article |
Statements
Asymptotic behaviour of the sample autocovariance and autocorrelation function of the \(AR(1)\) process with \(\text{ARCH}(1)\) errors (English)
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5 November 2002
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ARCH model
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autoregressive process
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extremal index
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geometric ergodicity
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heavy tails
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multivariate regular variation
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point processes
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sample autocovariance function
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strong mixing
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