Nonlinear Time Series Models

Kamil Feridun Turkman, Manuel González Scotto and Patrícia de Zea Bermudez
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Kamil Feridun Turkman: Faculdade de Ciências Universidade de Lisboa, Departmento de Estatística e Investigação Operacional
Manuel González Scotto: Universidade de Aveiro, Departamento de Matemática
Patrícia de Zea Bermudez: Faculdade de Ciências Universidade de Lisboa, Departmento de Estatística e Investigação Operacional

Chapter Chapter 2 in Non-Linear Time Series, 2014, pp 23-89 from Springer

Abstract: Abstract Assume that for $$t \in \mathbb{Z}$$ , (Z t ) and $$(Z_{t}^{{\ast}})$$ are respectively uncorrelated and independent sequences of r.v’s having identical marginal distribution F(⋅ ), with zero mean and variance $$\sigma _{Z}^{2}

Keywords: Sample Path; Conditional Variance; Hermite Polynomial; GARCH Model; Dirichlet Process (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-07028-5_2

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DOI: 10.1007/978-3-319-07028-5_2

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