Some statistical results on autoregressive conditionally heteroscedastic models
Autor(a) principal: | |
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Data de Publicação: | 1998 |
Outros Autores: | |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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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 |
format |
article |
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) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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 |
repository.mail.fl_str_mv |
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1799133898415800320 |