On geometric ergodicity of CHARME models
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consistencygeometric ergodicityidentifiabilityMarkov switchingmixture modelsneural networksnonparametric AR-ARCH
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)
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Cites work
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- A note on the identifiability of the conditional expectation for the mixtures of neural networks
- An introduction to bispectral analysis and bilinear time series models
- Bootstrap of kernel smoothing in nonlinear time series
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- Conditional heteroskedasticity driven by hidden Markov chains
- Erratum to: On geometric ergodicity of nonlinear autoregressive models
- Estimating market risk with neural networks
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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- MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- ON GEOMETRIC ERGODICITY OF AN AR-ARCH TYPE PROCESS WITH MARKOV SWITCHING
- On geometric ergodicity of nonlinear autoregressive models
- On the convergence properties of the EM algorithm
- On White Noises Driven by Hidden Markov Chains
- Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1
- Threshold models in non-linear time series analysis
Cited in
(14)- On the ergodicity of general mixture of linear autoregressive time series
- Local stationarity and time-inhomogeneous Markov chains
- A test for second order stationarity of a multivariate time series
- On the use of estimating functions in monitoring time series for change points
- On geometric ergodicity of skewed-SVCHARME models
- Testing for parameter stability in nonlinear autoregressive models
- A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis
- Mixtures of nonparametric autoregressions
- Dilemmas of robust analysis of economic data streams
- Markov switching model of nonlinear autoregressive with skew-symmetric innovations
- Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach
- On the geometric ergodicity of the mixture autoregressive model
- Learning CHARME models with neural networks
- Bootstrap prediction inference of nonlinear autoregressive models
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