AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE

DOI10.1111/J.1467-9892.1982.TB00343.XMaRDI QIDQ3334817zbMATH OpenOpenAlexFDO

Authors John Tyssedal, Dag Tjøstheim

Publication date 1982

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1982.tb00343.x

zbMATH Keywords

consistent estimatesnonstationary autoregressive time seriesiterative regressiontime dependent variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Recommendations

• LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• On an autoregressive model with time-dependent coefficients
• Adaptive estimation of autoregressive models with time-varying variances
• scientific article; zbMATH DE number 4111854
• Variance estimation in nonlinear autoregressive time series models

Cites work

• scientific article; zbMATH DE number 3144053 (Why is no real title available?)
• scientific article; zbMATH DE number 3551729 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Measuring deviations from stationarity
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Some properties and examples of random processes that are almost wide sense stationary

Cited in

(8)

• scientific article; zbMATH DE number 5736245 (Why is no real title available?)
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• LEAST SQUARES ESTIMATES AND ORDER DETERMINATION PROCEDURES FOR AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Order selection for heteroscedastic autoregression: a study on concentration
• Analysis of multivariate arma processes with non-stationary innovations
• AUTOREGRESSIVE PROCESSES WITH NORMAL STATIONARY DISTRIBUTIONS
• Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
• On the prediction of multivariate arma processes with a time dependent covariance structure

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