Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity

MaRDI QIDQ5434019zbMATH OpenFDO

Authors Pentti Saikkonen

Publication date 9 January 2008

zbMATH Keywords

\(\beta\)-mixingautoregressive conditional heteroskedasticitygeometric ergodicitymixture autoregressive modelnonlinear vector autoregressive modelstability

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• On mixture autoregressive conditional heteroskedasticity
• On a vector double autoregressive model
• Ergodicity and existence of moments for local mixtures of linear autoregressions
• On an independent and identically distributed mixture bilinear time-series model
• STATIONARITY AND β-MIXING PROPERTY OF A MIXTURE AR-ARCH MODELS
• Mixtures of nonlinear Poisson autoregressions
• A Gaussian Mixture Autoregressive Model for Univariate Time Series
• On a mixture vector autoregressive model
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• scientific article; zbMATH DE number 2217375 (Why is no real title available?)
• On first and second order stationarity of random coefficient models
• Mixture matrix-valued autoregressive model
• A mixture integer-valued ARCH model

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