On some probabilistic properties of double periodic AR models

DOI10.1016/j.spl.2008.09.015zbMath1155.62061OpenAlexW2165807421MaRDI QIDQ1003807

Abdelhakim Aknouche, Hafida Guerbyenne

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.09.015

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ On Markov-switching periodicARMAmodels ⋮ Periodic stationarity of random coefficient periodic autoregressions

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• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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