A LARCH(∞) Vector Valued Process
| Autor: | Paul Doukhan, Pablo Winant, Gilles Teyssière |
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| Rok vydání: | 2006 |
| Předmět: | |
| Zdroj: | Lecture Notes in Statistics ISBN: 9780387317410 |
| DOI: | 10.1007/0-387-36062-x_11 |
| Popis: | We introduce a vector version of the LARCH(1) equation yielding asimple approach to various models like bilinear or GARCH models. To this aim weprovide an explicit chaotic expansion of a solution for this ARCH(1) equation, andshow the uniqueness of this solution under reasonable conditions. Independent orN-Markov approximations of this process allow to simulate a trajectory or to derivebounds for their weak dependence coefficients as defined by Doukhan and Louhichi(1999). We finally consider a long range dependent version of this model; in thiscase we provide an existence and uniqueness result. |
| Databáze: | OpenAIRE |
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