First‐Order Autoregressive Processes with Heterogeneous Persistence

DOI10.1111/1467-9892.00308MaRDI QIDQ4828156zbMATH OpenOpenAlexFDO

Authors J. Jasiak

Publication date 24 November 2004

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

Full work available at URL https://doi.org/10.1111/1467-9892.00308

zbMATH Keywords

canonical analysisidentificationstochastic parametertime deformation

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A simple nonlinear time series model with misleading linear properties
• An equilibrium characterization of the term structure
• An introduction to stochastic unit-root processes
• Continuous time autoregressive models with common stochastic trends
• Heavy tails and long range dependence in on/off processes and associated fluid models
• scientific article; zbMATH DE number 3703856 (Why is no real title available?)
• Memory and infrequent breaks
• Modeling long memory in stock market volatility
• On the structure of moving average processes
• Time changes, Laplace transforms and path-dependent options

Cited in

(4)

• Autoregressive Gaussian random vectors of first order
• Moment estimator for an AR(1) model driven by a long memory Gaussian noise
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• First-order autoregressive logistic processes

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