Asymptotically homogeneous iterated random functions with applications to the HARCH process

DOI10.1007/s10986-009-9034-zzbMath1193.60092OpenAlexW2025442412MaRDI QIDQ1041395

V. Skorniakov, Vytautas Kazakevičius

Publication date: 2 December 2009

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-009-9034-z

zbMATH Keywords

Markov chainstationary distributionHarris recurrenceFoster-Lyapunov conditionHARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

Related Items (1)

Tail index of asymptotically homogeneous Markov chains

Cites Work

• Markov chains and stochastic stability
• Stationarity of GARCH processes and of some nonnegative time series
• The Strong Law of Large Numbers for a Class of Markov Chains
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unnamed Item

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