کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1152206 | 958274 | 2012 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the probabilistic structure of power threshold generalized arch stochastic processes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The aim of this paper is to develop a probabilistic study on a large and general class of conditionally heteroscedastic models, namely the δδ-TGARCH processes. For this class of processes we establish necessary and sufficient conditions of strict stationarity, ergodicity and existence of moments. A discussion on the weak stationarity of an associated vectorial process, moments and weak stationarity up to the order δδ of those processes is also presented. Finally, the minimal representation of a δδ-TGARCH process is obtained developing, in a unique way, the corresponding conditional moment of order δδ in terms of present and past observations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 82, Issue 8, August 2012, Pages 1597–1609
Journal: Statistics & Probability Letters - Volume 82, Issue 8, August 2012, Pages 1597–1609
نویسندگان
E. Gonçalves, J. Leite, N. Mendes-Lopes,