A note on the third-order moment structure of bilinear model with non-independent shocks.
Martins, C.M. (1999)
Portugaliae Mathematica
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Displaying similar documents to “QML estimators in linear regression models with functional coefficient autoregressive processes.”
A note on the third-order moment structure of bilinear model with non-independent shocks.
On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes
Petr Zvára (2004)
Kybernetika
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A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.
Asymptotic separation in bilinear models.
Gonçalves, E., Martins, C.M., Mendes-Lopes, N. (2000)
Portugaliae Mathematica
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Urn-related random walk with drift .
Menshikov, Mikhail, Volkov, Stanislav (2008)
Electronic Journal of Probability [electronic only]
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The effects of series on cointegration inference.
Lin, Yan-Xia, McCrae, Michael (2002)
Journal of Applied Mathematics and Decision Sciences
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Potentials of a Markov process are expected suprema
Hans Föllmer, Thomas Knispel (2007)
ESAIM: Probability and Statistics
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Expected suprema of a function observed along the paths of a nice Markov process define an excessive function, and in fact a potential if vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...
Towards viscosity approximations of hierarchical fixed-point problems.
Moudafi, A., Maingé, P.-E. (2006)
Fixed Point Theory and Applications [electronic only]
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Monotone semiflows generated by neutral equations with different delays in neutral and retarded parts.
Krisztin, T., Wu, J. (1994)
Acta Mathematica Universitatis Comenianae. New Series
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