Random coefficient autoregression, regime switching and long memory

Advances in Applied Probability

Volumn 35, Issue 3, 2003, Pages 737-754

  Leipus, Remigijus ^a   Surgailis, Donatas ^a  

^a VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Long memory; Random coefficient autoregression; Regime switching; Renewal process; Stable L vy motion

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES;

LONG MEMORY; RANDOM COEFFICIENT AUTOREGRESSION; REGIME SWITCHING; RENEWAL PROCESS; STABLE LEVY MOTION;

REGRESSION ANALYSIS;

EID: 0042881131     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1059486826     Document Type: Article

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