Projective Stochastic Equations and Nonlinear Long Memory

DOI10.1239/aap/1418396244zbMath1305.60026arXiv1312.1938OpenAlexW2963668486MaRDI QIDQ2939267

Donatas Surgailis, Ieva Grublytė

Publication date: 19 January 2015

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.1938

zbMATH Keywords

invariance principlelong memoryBernoulli shiftLARCH modelprojective stochastic equation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Random operators and equations (aspects of stochastic analysis) (60H25) Functional limit theorems; invariance principles (60F17)

Related Items

A nonlinear model for long-memory conditional heteroscedasticity

Uses Software

• longmemo

Cites Work

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