RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
From MaRDI portal
Publication:3690041
DOI10.1111/j.1467-9892.1985.tb00394.xzbMath0572.62069OpenAlexW2040953615MaRDI QIDQ3690041
Richard L. Tweedie, Paul D. Feigin
Publication date: 1985
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1985.tb00394.x
stationarityautoregressive processesgeometric ergodicityfiniteness of momentsFeller processrandom coefficient regressiongeometrically ergodicKronecker product of matricesbilinear processHarris ergodicitygeneral state space Markov chainsdiscrete time vector processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05)
Related Items (91)
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors ⋮ Exponential inequalities for unbounded functions of geometrically ergodic Markov chains: applications to quantitative error bounds for regenerative Metropolis algorithms ⋮ Large sample inference for conditional exponential families with applications to nonlinear time series ⋮ Inference and martingale estimating equations for stochastic processes on a semigroup ⋮ Variable selection in generalized random coefficient autoregressive models ⋮ The tail of the stationary distribution of a random coefficient \(\text{AR}(q)\) model. ⋮ Geometric ergodicity of nonlinear autoregressive models with changing conditional variances ⋮ Strong approximation for RCA(1) time series with applications ⋮ A Non-Gaussian Model for Time Series with Pulses ⋮ RCA models with correlated errors ⋮ Empirical Likelihood-based Inference for Stationary-ergodicity of the Generalized Random Coefficient Autoregressive Model ⋮ Random autoregressive models: A structured overview ⋮ The geometric ergodicity and existence of moments for a class of nonlinear time series model ⋮ Limit theorems for some doubly stochastic processes ⋮ Functional coefficient autoregressive conditional root model ⋮ Distribution of recirculating lymphocytes: A stochastic model foundation ⋮ On a threshold autoregression with conditional heteroscedastic variances ⋮ Power periodic threshold GARCH model: Structure and estimation ⋮ Extremal behaviour of models with multivariate random recurrence representation ⋮ The local asymptotic normality of a class of generalized random coefficient autoregressive processes ⋮ Statistical inference for generalized random coefficient autoregressive model ⋮ Real time estimation of stochastic volatility processes ⋮ NULL RECURRENT UNIT ROOT PROCESSES ⋮ A new bivariate autoregressive model driven by logistic regression ⋮ Geometric ergodicity for classes of homogeneous Markov chains ⋮ QUANTILE DOUBLE AUTOREGRESSION ⋮ A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5 ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ Limit theory for random coefficient first-order autoregressive process under martingale difference error sequence ⋮ Estimation and testing of multivariate random coefficient autoregressive model based on empirical likelihood ⋮ On parameter estimation of partly observed bilinear discrete-time stochastic systems ⋮ Mixing properties of ARCH and time-varying ARCH processes ⋮ Structure of a double autoregressive process driven by a hidden Markov chain ⋮ Asymptotics for a class of generalized multicast autoregressive processes ⋮ Correction to: Random Coefficient Autoregressive Processes: a Markov Chain Analysis of Stationarity and Finiteness of Moments by Paul D. Feigin and Richard L. Tweedie J. Time Series Anal., Vol. 6, No. 1 (1985) ⋮ Efficient detection of random coefficients in autoregressive models ⋮ On convergence of kernel estimators of density with variable window width by dependent observations ⋮ Canonical correlation analysis for the vector AR(1) model with ARCH innovations ⋮ Stability of block-triangular stationary random matrices ⋮ Asymptotic spectral theory for nonlinear time series ⋮ Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series ⋮ Unnamed Item ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ Rate of Convergence to Normality of Estimators in a Random Coefficient ARMA(p,q) Model ⋮ Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data ⋮ On sequential confidence estimation of parameters of stochastic dynamical systems with conditionally Gaussian noises ⋮ Recent developments in volatility modeling and applications ⋮ On the central limit theorem for an ergodic Markov chain ⋮ Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality ⋮ Recursive online EM estimation of mixture autoregressions ⋮ Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis ⋮ Regular variation of GARCH processes. ⋮ Limit Theory for Random Coefficient First-Order Autoregressive Process ⋮ Strict stationarity of ar(p) processes generated by nonlinear random functions with additive perturbations ⋮ Testing for parameter stability in \(RCA(1)\) time series ⋮ Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients ⋮ Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity ⋮ Threshold \(\text{Arch}(1)\) processes: Asymptotic inference ⋮ Stable limits for sums of dependent infinite variance random variables ⋮ Nonparametric regression estimation in a null recurrent time series ⋮ Duration time-series models with proportional hazard ⋮ On the tail behavior of a class of multivariate conditionally heteroskedastic processes ⋮ Nonparametric estimation in a nonlinear cointegration type model ⋮ Linear double autoregression ⋮ Coefficient constancy test in generalized random coefficient autoregressive model ⋮ Successive identification of the random-parameter linear dynamic system ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ On stationarity and \(\beta \)-mixing of periodic bilinear processes ⋮ Autoregressive processes with data-driven regime switching ⋮ Probabilistic properties of periodic GARCH prosses ⋮ Asymptotic behaviors of randomly perturbed dynamical systems ⋮ Branching Markov processes and related asymptotics ⋮ Estimation and Asymptotic Inference in the AR-ARCH Model ⋮ The sequential estimation in stochastic regression model with random coefficients ⋮ The mixing property of bilinear and generalised random coefficient autoregressive models ⋮ Bayesian approach to estimation of ordered uniform scale parameters ⋮ On nonlinear models for time series ⋮ Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models ⋮ Commercial and residential mortgage defaults: spatial dependence with frailty ⋮ Parameter estimation for generalized random coefficient autoregressive processes ⋮ Nonparametric estimation in null recurrent time series. ⋮ Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure. ⋮ Asymptotics of a class of \(p\)th-order nonlinear autoregressive processes ⋮ A test for second order stationarity of a multivariate time series ⋮ Sample path properties of an explosive double autoregressive model ⋮ On the use of estimating functions in monitoring time series for change points ⋮ Basket trading under co-integration with the logistic mixture autoregressive model ⋮ Asymptotics for the random coefficient first-order autoregressive model with possibly heavy-tailed innovations ⋮ Quadratic random coefficient autoregression with linear-in-parameters volatility ⋮ Test for parameter changes in generalized random coefficient autoregressive model ⋮ Asymptotic expansions in sequential estimation for the first-order random coefficient autoregressive model: Regenerative approach
Cites Work
This page was built for publication: RANDOM COEFFICIENT AUTOREGRESSIVE PROCESSES:A MARKOV CHAIN ANALYSIS OF STATIONARITY AND FINITENESS OF MOMENTS
