Multivariate Markov-switching ARMA processes with regularly varying noise

DOI10.1016/j.jmva.2007.07.001zbMath1143.62054OpenAlexW2084050316MaRDI QIDQ928854

Robert Stelzer

Publication date: 11 June 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1072579/document.pdf

zbMATH Keywords

regular variationheavy tailsnonlinear time series modelsstochastic difference equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

On random coefficient INAR(1) processes ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Multivariate linear recursions with Markov-dependent coefficients ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ Threshold Vector Arma Models ⋮ Divergent Perpetuities Modulated by Regime Switches

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