Stationarity and ergodicity of Markov switching positive conditional mean models-Reference-Cited by-同舟云学术

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Stationarity and ergodicity of Markov switching positive conditional mean models

Published:2021-09-17 Issue: Volume: Page:
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Aknouche Abdelhakim¹²^ORCID,Francq Christian³⁴^ORCID

Affiliation:

1. Department of Operations Research, Faculty of Mathematics USTHB Algiers Algeria

2. Department of Mathematics, College of Science Qassim University Buraydah Saudi Arabia

3. Centre de Recherche en Économie et Statistique (CREST) Palaiseau France

4. University of Lille Lille France

Funder

French National Research Agency

Laboratory of Excellence in Economics and Decision Sciences

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12621

Reference50 articles.

1. ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES

2. Ergodicity conditions for a double mixed Poisson autoregression

3. COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS

4. Theory and inference for a Markov switching GARCH model

5. Generalized Autoregressive Moving Average Models

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1. Maximum likelihood inference for a class of discrete-time Markov switching time series models with multiple delays;EURASIP Journal on Advances in Signal Processing;2024-07-01

2. A Systematic Review of INGARCH Models for Integer-Valued Time Series;Entropy;2023-06-11

3. A multiplicative thinning‐based integer‐valued GARCH model;Journal of Time Series Analysis;2023-03-23

4. Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series;Journal of Time Series Analysis;2023-02-22

5. On an independent-switching periodic autoregressive conditional duration;Discrete and Continuous Dynamical Systems - S;2023

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