First‐Order Autoregressive Processes with Heterogeneous Persistence

DOI10.1111/1467-9892.00308zbMath1050.62091OpenAlexW2060577210MaRDI QIDQ4828156

Joanna Jasiak

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00308

zbMATH Keywords

identificationcanonical analysistime deformationstochastic parameter

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Continuous time autoregressive models with common stochastic trends
• On the structure of moving average processes
• A simple nonlinear time series model with misleading linear properties
• An introduction to stochastic unit-root processes
• Modeling long memory in stock market volatility
• Memory and infrequent breaks
• Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models
• An equilibrium characterization of the term structure
• Time changes, Laplace transforms and path-dependent options

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