Some statistical properties of the vector multiplicative error model

MaRDI QIDQ2927706zbMATH OpenFDO

Authors Wanbo Lu, Jungong Li

Publication date 4 November 2014

Published in Dynamics of Continuous, Discrete \& Impulsive Systems. Series B. Applications \& Algorithms (Search for Journal in Brave)

Full work available at URL http://online.watsci.org/abstract_pdf/2014v21/v21n4-5b-pdf/1.pdf

zbMATH Keywords

\(\beta\)-mixinggeometric ergodicityMarkov chainnonnegative valued processesstationarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• Vector attenuation bias in the classical errors-in-variables model
• Estimating vector multiplicative error model using the closed-formed moment method
• Sum of Profiles Model with Exchangeably Distributed Errors
• M-estimates for the multiplicative error model
• Asymptotic properties of multiplicative error models

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