Multivariate arma models with generalized autoregressive linear innovation

DOI10.1080/07362990008809666zbMath0983.62058OpenAlexW2074646530MaRDI QIDQ4949463

Jean-Michel Zakoian, Christian Francq

Publication date: 21 April 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809666

zbMATH Keywords

time seriesinvertibilityidentifiabilitystrict stationaritylinear innovationssecond-order stationaritygeneralized autoregressive modelling

Mathematics Subject Classification ID

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

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