A nonlinear model for long memory conditional heteroscedasticity

Autor:	Doukhan, Paul, Grublytė, Ieva, Surgailis, Donatas
Rok vydání:	2015
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	We discuss a class of conditionally heteroscedastic time series models satisfying the equation $r_t= \zeta_t \sigma_t$, where $\zeta_t$ are standardized i.i.d. r.v.'s and the conditional standard deviation $\sigma_t$ is a nonlinear function $Q$ of inhomogeneous linear combination of past values $r_s, s
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1502.00095 Zobrazit plný text záznamu View this record from Arxiv