On the Distribution Estimation of Power Threshold Garch Processes

Detalhes bibliográficos
Autor(a) principal: Gonçalves, Esmeralda
Data de Publicação: 2016
Outros Autores: Leite, Joana, Mendes-Lopes, Nazaré
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/44814
https://doi.org/10.1111/jtsa.12173
Resumo: The aim of this article is to estimate the probability distribution of power threshold generalized autoregressive conditional heteroskedasticity processes by establishing bounds for their finite dimensional laws. These bounds only depend on the parameters of the model and on the distribution function of its independent generating process. The application of this study to some particular models allows us to conjecture that this procedure is an adequate alternative to the corresponding estimation using the empirical distribution functions, particularly useful in the development of control charts for this kind of models.
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spelling On the Distribution Estimation of Power Threshold Garch ProcessesThe aim of this article is to estimate the probability distribution of power threshold generalized autoregressive conditional heteroskedasticity processes by establishing bounds for their finite dimensional laws. These bounds only depend on the parameters of the model and on the distribution function of its independent generating process. The application of this study to some particular models allows us to conjecture that this procedure is an adequate alternative to the corresponding estimation using the empirical distribution functions, particularly useful in the development of control charts for this kind of models.Wiley2016info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/44814http://hdl.handle.net/10316/44814https://doi.org/10.1111/jtsa.12173https://doi.org/10.1111/jtsa.12173enghttp://onlinelibrary.wiley.com/doi/10.1111/jtsa.12173/fullGonçalves, EsmeraldaLeite, JoanaMendes-Lopes, Nazaréinfo: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:RCAAP2021-06-29T10:03:19Zoai:estudogeral.uc.pt:10316/44814Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:25.460646Repositório 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 On the Distribution Estimation of Power Threshold Garch Processes
title On the Distribution Estimation of Power Threshold Garch Processes
spellingShingle On the Distribution Estimation of Power Threshold Garch Processes
Gonçalves, Esmeralda
title_short On the Distribution Estimation of Power Threshold Garch Processes
title_full On the Distribution Estimation of Power Threshold Garch Processes
title_fullStr On the Distribution Estimation of Power Threshold Garch Processes
title_full_unstemmed On the Distribution Estimation of Power Threshold Garch Processes
title_sort On the Distribution Estimation of Power Threshold Garch Processes
author Gonçalves, Esmeralda
author_facet Gonçalves, Esmeralda
Leite, Joana
Mendes-Lopes, Nazaré
author_role author
author2 Leite, Joana
Mendes-Lopes, Nazaré
author2_role author
author
dc.contributor.author.fl_str_mv Gonçalves, Esmeralda
Leite, Joana
Mendes-Lopes, Nazaré
description The aim of this article is to estimate the probability distribution of power threshold generalized autoregressive conditional heteroskedasticity processes by establishing bounds for their finite dimensional laws. These bounds only depend on the parameters of the model and on the distribution function of its independent generating process. The application of this study to some particular models allows us to conjecture that this procedure is an adequate alternative to the corresponding estimation using the empirical distribution functions, particularly useful in the development of control charts for this kind of models.
publishDate 2016
dc.date.none.fl_str_mv 2016
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/10316/44814
http://hdl.handle.net/10316/44814
https://doi.org/10.1111/jtsa.12173
https://doi.org/10.1111/jtsa.12173
url http://hdl.handle.net/10316/44814
https://doi.org/10.1111/jtsa.12173
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12173/full
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Wiley
publisher.none.fl_str_mv Wiley
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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