Stochastic analysis of GSB process

DOI10.2298/PIM1409149SMaRDI QIDQ2969181zbMATH OpenOpenAlexFDO

Authors Predrag Popović, Vladica Stojanović, Biljana Popović

Publication date 14 March 2017

Published in Publications de l'Institut Math?matique (Belgrade) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2298/pim1409149s

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zbMATH Keywords

stationarityinvertibilitynoise-indicatorGSB processsplit-MA processSTOPBREAK process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic approximation (62L20)

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(4)

• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Distributional properties and parameters estimation of GSB process: an approach based on characteristic functions
• The split-SV model
• Model of general split-BREAK process

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