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| Property / review text |
| | ARCH(\(\infty\)) processes are introduced via a recursive definition, and their autocorrelation functions are shown to satisfy a discrete time Volterra equation. Using this fact, it is shown that the subexponential decay rate, resp. subexponential bounds, for the coefficients in this Volterra recursion imply the same for the autocorrelation sequence itself, and vice versa. Examples and comparison with existing results are also included. |
| Property / review text: ARCH(\(\infty\)) processes are introduced via a recursive definition, and their autocorrelation functions are shown to satisfy a discrete time Volterra equation. Using this fact, it is shown that the subexponential decay rate, resp. subexponential bounds, for the coefficients in this Volterra recursion imply the same for the autocorrelation sequence itself, and vice versa. Examples and comparison with existing results are also included. / rank |
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| Property / Mathematics Subject Classification ID |
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| Property / Mathematics Subject Classification ID: 62M10 / rank |
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| Property / Mathematics Subject Classification ID: 39A60 / rank |
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| Property / Mathematics Subject Classification ID: 39A10 / rank |
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| Property / Mathematics Subject Classification ID: 91B84 / rank |
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| Property / zbMATH DE Number |
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| Property / zbMATH DE Number: 6047932 / rank |
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| Property / zbMATH Keywords |
| | Volterra equation |
| Property / zbMATH Keywords: Volterra equation / rank |
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| Property / zbMATH Keywords |
| | subexponential decay |
| Property / zbMATH Keywords: subexponential decay / rank |
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| Property / MaRDI profile type |
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| Property / MaRDI profile type: MaRDI publication profile / rank |
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| Property / OpenAlex ID: W2962780127 / rank |
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| Property / arXiv ID |
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| Property / arXiv ID: 1202.5440 / rank |
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