Stationarity and ergodicity of univariate generalized autoregressive score processes

DOI10.1214/14-EJS924zbMath1309.60034OpenAlexW3121430753MaRDI QIDQ405328

Francisco Blasques, André Lucas, Siem Jan Koopman

Publication date: 5 September 2014

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1407243244

zbMATH Keywords

nonlinear dynamicsergodicitystationaritystochastic recurrence equationsautoregressive score processtime-varying higher-order momentstime-varying means

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

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