Multivariate arma models with generalized autoregressive linear innovation
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Publication:4949463
DOI10.1080/07362990008809666zbMath0983.62058MaRDI QIDQ4949463
Jean-Michel Zakoian, Christian Francq
Publication date: 21 April 2002
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990008809666
time series; invertibility; identifiability; strict stationarity; linear innovations; second-order stationarity; generalized autoregressive modelling
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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