Existence of moments in a stationary stochastic difference equation

DOI10.2307/1427601zbMath0697.60040OpenAlexW1991004029MaRDI QIDQ3473895

Hans Arnfinn Karlsen

Publication date: 1990

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427601

zbMATH Keywords

nonlinear time seriesstrictly stationary processdoubly stochastic processGaussian inequalities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (6)

Renewal regime switching and stable limit laws ⋮ On the ARCH model with stationary liquidity ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ GEOMETRIC ERGODICITY OF A DOUBLY STOCHASTIC TIME SERIES MODEL ⋮ A law of large numbers and central limit theorem for the logarithm of an autoregressive process with a stationary driving sequence ⋮ On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise

This page was built for publication: Existence of moments in a stationary stochastic difference equation