Random coefficient autoregression, regime switching and long memory

DOI10.1239/aap/1059486826zbMath1044.62095OpenAlexW2056033120MaRDI QIDQ4467509

Remigijus Leipus, Donatas Surgailis

Publication date: 10 June 2004

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

Full work available at URL: https://doi.org/10.1239/aap/1059486826

zbMATH Keywords

regime switchinglong memoryrenewal processrandom coefficient autoregressionstable Lévy motion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

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