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https://hdl.handle.net/10316/4670
Title: | Some statistical results on autoregressive conditionally heteroscedastic models | Authors: | Gonçalves, Esmeralda Lopes, Nazaré Mendes |
Keywords: | Conditionally heteroscedastic time series; White noise, stationarity; Arma models; Forecasting | Issue Date: | 1998 | Citation: | Journal of Statistical Planning and Inference. 68:1 (1998) 193-202 | Abstract: | The aim of this paper is to present some statistical aspects of an order 1 autoregressive model with errors following a stationary and ergodic generalized threshold ARCH process. So, to analyse the precision of forecasts obtained with these models a probabilistic study will be done. Moreover, a consistent test for a general AR(1) model with errors following an ergodic white noise of null conditional median will be developed and adapted to our stochastic process. | URI: | https://hdl.handle.net/10316/4670 | Rights: | openAccess |
Appears in Collections: | FCTUC Matemática - Artigos em Revistas Internacionais |
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