Periodic stationarity conditions for mixture periodic INGARCH models

Periodic stationarity conditions for mixture periodic INGARCH models

This paper proposes strict periodic stationarity and periodic ergodicity conditions for a finite mixture integer-valued GARCH model with S-periodic time-varying parameters that depend on the state of an independent and periodically distributed regime sequence. In this model, the past conditional mea...

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Detaylı Bibliyografya
Yazar: Bader S. Almohaimeed
Materyal Türü: Makale
Dil:English
Baskı/Yayın Bilgisi: AIMS Press 2022-03-01
Seri Bilgileri:AIMS Mathematics
Konular:
integer-valued time series models
finite mixture models
periodic time-varying models
ergodic properties
path dependence
Online Erişim:https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTML

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