Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH() processes

DOI10.1016/J.CAMWA.2012.03.079zbMATH Open1268.39014arXiv1202.5573OpenAlexW2091934491MaRDI QIDQ356154FDOQ356154

John A. D. Appleby, John A. Daniels

Publication date: 25 July 2013

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Abstract: We define a class of functions which have a known decay rate coupled with a periodic fluctuation. We identify conditions on the kernel of a linear summation convolution Volterra equation which give the equivalence of the kernel lying in this class of functions and the solution lying in this class of functions. Some specific examples are examined. In particular this theory is used to provide a counter--example to a result regarding the rate of decay of the auto--covariance function of an ARCH($infty$) process.

Full work available at URL: https://arxiv.org/abs/1202.5573

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zbMATH Keywords

periodic solutiondifference equationVolterra equationadmissibility\(\mathrm{ARCH}(\infty)\) processauto-covariance function

Mathematics Subject Classification ID

Stability theory for difference equations (39A30) Volterra integral equations (45D05)

Cites Work

• Change-point estimation in ARCH models
• Perturbation Theory for Discrete Volterra Equations
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Uniform asymptoic stability in linear volterra difference equations
• ARCH-type bilinear models with double long memory.
• Perturbation of Volterra Difference Equations
• On exact convergence rates for solutions of linear systems of Volterra difference equations†
• Title not available (Why is that?)
• Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models
• STATIONARITY AND MEMORY OF ARCH([infty infinity]) MODELS

Cited In (1)

• Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models

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