Convergence Theory of a Numerical Method for Solving the Chapman--Kolmogorov Equation

DOI10.1137/S0036142901390366zbMath1073.65013MaRDI QIDQ4443574

Yuzhi Cai

Publication date: 18 January 2004

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

numerical procedureforecastingconvergence theorynonlinear autoregressive time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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