scientific article; zbMATH DE number 774844

MaRDI QIDQ4839358zbMATH OpenFDO

Authors Dominique Guegan, J. Diebolt

Publication date 14 November 1995

zbMATH Keywords

ARCH modelergodicitygeometric ergodicityHarris recurrenceirreducibilitymixingnonlinear time seriestail of the stationary density

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(32)

• Verifying irreducibility and continuity of a nonlinear time series
• The geometric ergodicity and existence of moments for a class of nonlinear time series model
• A note on geometric ergodicity of autoregressive conditional heteroscedasticity (ARCH) model
• Geometric ergodicity of a general ARCH type model
• Stability of nonlinear AR(1) time series with delay
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• The probabilistic properties of the nonlinear autoregressive model with conditional heteroskedasticity
• On the estimation of -ARCH models
• Empirical process of the squared residuals of an ARCH sequence
• Higher-order asymptotic properties of QML in -ARCH and -ARCH models
• Asymptotically optimal tests for non-linear autoregressive model with -ARCH errors
• Estimation in a class of nonlinear heteroscedastic time series models
• Generalized least squares estimation for explosive AR(1) processes with conditionally heteroscedastic errors
• Kernel estimates of the mean and the volatility functions in a nonlinear autoregressive model with ARCH errors
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Testing for parameter stability in nonlinear autoregressive models
• Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
• Structure of a double autoregressive process driven by a hidden Markov chain
• scientific article; zbMATH DE number 1538085 (Why is no real title available?)
• Geometric ergodicity of nonlinear autoregressive models with changing conditional variances
• Local GMM estimation of time series models with conditional moment restrictions
• Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
• Sample path properties of an explosive double autoregressive model
• Testing for changes in the mean or variance of a stochastic process under weak invariance
• L₁ geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
• Asymptotically linear iterated function systems on the real line
• Tail behaviour of \(\beta \)-TARCH models
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Autoregressive conditional dynamic semivariance models with value-at-risk estimates
• A simple additivity test for conditionally heteroscedastic nonlinear autoregression
• Regular variation of order 1 nonlinear AR-ARCH models

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