Random Series with Time-Varying Discounting

DOI10.1080/03610926.2011.562772zbMath1230.62117OpenAlexW2011516290MaRDI QIDQ3098924

Doncho S. Donchev

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562772

zbMATH Keywords

Mellin transformstochastic recurrence equationsGARCH(1, 1) and ARCH processesMeyer G-functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of hypergeometric functions (33C90)

Related Items (max. 100)

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Cites Work

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• Implicit renewal theory and tails of solutions of random equations
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

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