Stationarity and ergodicity of univariate generalized autoregressive score processes (Q405328): Difference between revisions

@@ Property / author @@
-Siem Jan Koopman
@@ Property / author: Siem Jan Koopman / rank @@
-Normal rank
@@ Property / author @@
-André Lucas
@@ Property / author: André Lucas / rank @@
-Normal rank
@@ Property / author @@
+Siem Jan Koopman
@@ Property / author: Siem Jan Koopman / rank @@
+Normal rank
@@ Property / author @@
+André Lucas
@@ Property / author: André Lucas / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B84
@@ Property / Mathematics Subject Classification ID: 91B84 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6340253
@@ Property / zbMATH DE Number: 6340253 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+autoregressive score process
@@ Property / zbMATH Keywords: autoregressive score process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stationarity
@@ Property / zbMATH Keywords: stationarity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+ergodicity
@@ Property / zbMATH Keywords: ergodicity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time-varying means
@@ Property / zbMATH Keywords: time-varying means / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time-varying higher-order moments
@@ Property / zbMATH Keywords: time-varying higher-order moments / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nonlinear dynamics
@@ Property / zbMATH Keywords: nonlinear dynamics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic recurrence equations
@@ Property / zbMATH Keywords: stochastic recurrence equations / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Kalman Filtering with Random Coefficients and Contractions
+Normal rank
@@ Property / cites work @@
+Q3922034
@@ Property / cites work: Q3922034 / rank @@
+Normal rank
@@ Property / cites work @@
+Iterated Random Functions
@@ Property / cites work: Iterated Random Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q2891271
@@ Property / cites work: Q2891271 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Inference in nonstationary asymmetric GARCH models
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+Q4397010
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+Normal rank
@@ Property / cites work @@
+Dynamic Models for Volatility and Heavy Tails
@@ Property / cites work: Dynamic Models for Volatility and Heavy Tails / rank @@
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@@ Property / cites work @@
+Filtering With Heavy Tails
@@ Property / cites work: Filtering With Heavy Tails / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
@@ Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodic theorems. With a supplement by Antoine Brunel
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
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+Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
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@@ Property / cites work @@
+Limit theorems for iterated random functions
@@ Property / cites work: Limit theorems for iterated random functions / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3121430753
@@ Property / OpenAlex ID: W3121430753 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:405328