On stationarity and β-mixing property of certain nonlinear GARCH(p,q) models
- Author
- LEE, O1 ; SHIN, D. W1
[1] Department of Statistics, Ewha University, Seoul 120-750, Korea, Republic of - Source
Statistics & probability letters. 2005, Vol 73, Num 1, pp 25-35, 11 p ; ref : 16 ref
- CODEN
- SPLTDC
- ISSN
- 0167-7152
- Scientific domain
- Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- /?-Mixing GARCH model Moments Stationarity
- Keyword (fr)
- Condition suffisante Modèle non linéaire Moment statistique Mélange loi probabilité Mélangeage Méthode statistique Théorie probabilité Décomposition exponentielle Loi stationnaire Modèle GARCH
- Keyword (en)
- Sufficient condition Non linear model Statistical moment Mixed distribution Mixing Statistical method Probability theory Exponential decay Stationary distribution GARCH model
- Keyword (es)
- Condición suficiente Modelo no lineal Momento estadístico Mezcla ley probabilidad Mezclado Método estadístico 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 / 001A02H01K Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications)
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02F Distribution theory
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16784494
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/j.spl.2005.02.011 
https://dx.doi.org/10.1016/j.spl.2005.02.011
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