Some statistical results on autoregressive conditionally heteroscedastic models |
| |
| Institution: | 1. College of Health and Life Sciences, Hamad Bin Khalifa University, Doha, 34110, Qatar;2. Department of Human Genetics, Sidra Medicine, 26999, Doha, Qatar;3. Division of Plastic and Craniofacial Surgery, Sidra Medicine, 26999, Doha, Qatar;4. Department of Genetic Medicine, Weill Cornell Medical College, Doha, 24144, Qatar;1. School of Resources and Safety Engineering, Central South University, Changsha 410075, China;2. Department of Systems Engineering and Engineering Management, City University of Hong Kong, Hong Kong 99907, China;3. School of Traffic and Transportation Engineering, Central South University, Changsha 410075, Hunan, China;4. Department of Civil & Environmental Engineering, University of Utah, Salt Lake City, UT, 84112, United States;5. School of Data Science, City University of Hong Kong, Hong Kong, 99907, China;1. Institute of Animal Sciences, University of Agriculture, Faisalabad 38040, Pakistan;2. Animal Nutrition Group, Wageningen University, P.O. Box 338, 6700 AH Wageningen, The Netherlands;3. Wageningen UR Livestock Research, P.O. Box 65, 8200 AB Lelystad, The Netherlands;4. Product Board Animal Feed, P.O. Box 908, 2700 AX Zoetermeer, The Netherlands;5. BLGG AgroXpertus, P.O. Box 170, 6700 AD Wageningen, The Netherlands;6. Department of Animal Nutrition, The University of Agriculture Peshawar, Khyber Pakhtunkhwa 25130, Pakistan;7. Faculty of Veterinary Medicine, Utrecht University, P.O. Box 80.163, 3508 TD Utrecht, The Netherlands;1. CEMAPRE/REM and ISEG, Universidade de Lisboa, Rua do Quelhas, 6, 1200-781 Lisboa, Portugal;2. ISEG, Universidade de Lisboa, Rua do Quelhas, 6, 1200-781 Lisboa, Portugal |
| |
| Abstract: | 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. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
