Some statistical results on autoregressive conditionally heteroscedastic models

Detalhes bibliográficos
Autor(a) principal: Gonçalves, Esmeralda
Data de Publicação: 1998
Outros Autores: Lopes, Nazaré Mendes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/4670
Resumo: 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.
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spelling Some statistical results on autoregressive conditionally heteroscedastic modelsConditionally heteroscedastic time seriesWhite noise, stationarityArma modelsForecastingThe 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.http://www.sciencedirect.com/science/article/B6V0M-3TC1T93-C/1/694001612cba7b15d95743329e50d8a01998info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleaplication/PDFhttp://hdl.handle.net/10316/4670http://hdl.handle.net/10316/4670engJournal of Statistical Planning and Inference. 68:1 (1998) 193-202Gonçalves, EsmeraldaLopes, Nazaré Mendesinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-09-21T07:48:45Zoai:estudogeral.uc.pt:10316/4670Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T21:00:47.893256Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Some statistical results on autoregressive conditionally heteroscedastic models
title Some statistical results on autoregressive conditionally heteroscedastic models
spellingShingle Some statistical results on autoregressive conditionally heteroscedastic models
Gonçalves, Esmeralda
Conditionally heteroscedastic time series
White noise, stationarity
Arma models
Forecasting
title_short Some statistical results on autoregressive conditionally heteroscedastic models
title_full Some statistical results on autoregressive conditionally heteroscedastic models
title_fullStr Some statistical results on autoregressive conditionally heteroscedastic models
title_full_unstemmed Some statistical results on autoregressive conditionally heteroscedastic models
title_sort Some statistical results on autoregressive conditionally heteroscedastic models
author Gonçalves, Esmeralda
author_facet Gonçalves, Esmeralda
Lopes, Nazaré Mendes
author_role author
author2 Lopes, Nazaré Mendes
author2_role author
dc.contributor.author.fl_str_mv Gonçalves, Esmeralda
Lopes, Nazaré Mendes
dc.subject.por.fl_str_mv Conditionally heteroscedastic time series
White noise, stationarity
Arma models
Forecasting
topic Conditionally heteroscedastic time series
White noise, stationarity
Arma models
Forecasting
description 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.
publishDate 1998
dc.date.none.fl_str_mv 1998
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10316/4670
http://hdl.handle.net/10316/4670
url http://hdl.handle.net/10316/4670
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Journal of Statistical Planning and Inference. 68:1 (1998) 193-202
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv aplication/PDF
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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