AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE

DOI10.1111/j.1467-9892.1982.tb00343.xzbMath0545.62054OpenAlexW2081097989MaRDI QIDQ3334817

Dag Tjøstheim, John Tyssedal

Publication date: 1982

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00343.x

zbMATH Keywords

consistent estimatesnonstationary autoregressive time seriesiterative regressiontime dependent variance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ Order selection for heteroscedastic autoregression: a study on concentration ⋮ On the prediction of multivariate arma processes with a time dependent covariance structure ⋮ Analysis of multivariate arma processes with non-stationary innovations

Cites Work

• Measuring deviations from stationarity
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Some properties and examples of random processes that are almost wide sense stationary
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