β-mixing and moment properties of RCA models with application to GARCH(p, q)
- Author
- CARRASCO, M1 ; CHEN, X2
[1] Crest, 15, boulevard Gabriel-Péri, 92245 Malakoff, France
[2] London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom - Source
Comptes rendus de l'Académie des sciences. Série 1, Mathématique. = Comptes rendus de l'Académie des sciences. Série 1. Mathematics. 2000, Vol 331, Num 3, pp 85-90 ; ref : 8 ref
- CODEN
- CASMEI
- ISSN
- 0764-4442
- Scientific domain
- Mathematics; Physics
- Publisher
- Elsevier, Paris
- Publication country
- France
- Document type
- Article
- Language
- English
- Keyword (fr)
- Autorégression Chaîne Markov Hétéroscedasticité Loi bêta Loi conditionnelle Mélangeage Méthode moment Processus Markov Théorie probabilité RCA model
- Keyword (en)
- Autoregression Markov chain Heteroscedasticity Beta distribution Conditional distribution Mixing Moment method Markov process Probability theory Random coefficient autoregressive model
- Keyword (es)
- Autoregresión Cadena Markov Heteroscedasticidad Ley beta Ley condicional Mezclado Método momento Proceso Markov Teoría probabilidad
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01B Mathematical foundations
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01C Probability theory on algebraic and topological structures
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 14188882
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/S0764-4442(00)00504-8 
https://dx.doi.org/10.1016/S0764-4442(00)00504-8
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