On geometric ergodicity of skewed-SVCHARME models
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Publication:2444396
DOI10.1016/j.spl.2013.10.008zbMath1370.60125arXiv1209.1544OpenAlexW2009677125MaRDI QIDQ2444396
Jerzy P. Rydlewski, Małgorzata Snarska
Publication date: 9 April 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.1544
Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamical systems and their relations with probability theory and stochastic processes (37A50)
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