Random Series with Time-Varying Discounting
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Publication:3098924
DOI10.1080/03610926.2011.562772zbMath1230.62117MaRDI QIDQ3098924
Publication date: 18 November 2011
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.562772
Mellin transform; stochastic recurrence equations; GARCH(1, 1) and ARCH processes; Meyer G-functions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
44A15: Special integral transforms (Legendre, Hilbert, etc.)
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
33C90: Applications of hypergeometric functions
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