On geometric ergodicity of CHARME models

DOI10.1111/j.1467-9892.2010.00651.xzbMath1223.62151OpenAlexW1990251206MaRDI QIDQ5391310

Joseph Tadjuidje Kamgaing, Jean-Pierre Stockis, Jürgen Franke

Publication date: 6 April 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00651.x

zbMATH Keywords

consistencyneural networksMarkov switchingidentifiabilitygeometric ergodicitymixture modelsnonparametric AR-ARCH

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Neural nets and related approaches to inference from stochastic processes (62M45)

Related Items (11)

Dilemmas of robust analysis of economic data streams ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis ⋮ Unnamed Item ⋮ Markov switching model of nonlinear autoregressive with skew-symmetric innovations ⋮ Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach ⋮ On geometric ergodicity of skewed-SVCHARME models ⋮ Mixtures of nonparametric autoregressions ⋮ Local stationarity and time-inhomogeneous Markov chains ⋮ A test for second order stationarity of a multivariate time series ⋮ On the use of estimating functions in monitoring time series for change points

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