Stochastic properties of spatial and spatiotemporal ARCH models

DOI10.1007/s00362-019-01106-xzbMath1477.62268OpenAlexW2934195363WikidataQ128079131 ScholiaQ128079131MaRDI QIDQ2066512

Robert Garthoff, Wolfgang Schmid, Philipp E. Otto

Publication date: 14 January 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-019-01106-x

zbMATH Keywords

momentsprobability structurespatial ARCHvariance clusters

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

A general framework for spatial GARCH models ⋮ Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors

Uses Software

• spatial

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