Stationarity of multivariate Markov–switching ARMA models
نویسندگان
چکیده
منابع مشابه
Optimal Estimation of Multivariate ARMA Models
Autoregressive moving average (ARMA) models are a fundamental tool in time series analysis that offer intuitive modeling capability and efficient predictors. Unfortunately, the lack of globally optimal parameter estimation strategies for these models remains a problem: application studies often adopt the simpler autoregressive model that can be easily estimated by maximizing (a posteriori) like...
متن کاملStationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the driving noise is absolutely continuous with respect to the Lebesgue measure and zero is in the interior o...
متن کاملStationarity of multivariate particle systems
A particle system is a family of i.i.d. stochastic processes with values translated by Poisson points. We obtain conditions that ensure the stationarity in time of the particle system in R and in some cases provide a full characterisation of the stationarity property. In particular, a full characterisation of stationary multivariate Brown–Resnick processes is given.
متن کاملOn transformations of multivariate ARMA processes
Let Xt be an /-dimensional ARMA (p, q) process. Let g: U l -> W be a measurable function. Define a process Zt by Zt = g(Xt). Generally, Z.is not an ARMA process. However, we are interested in such functions g, for which Zt is also an AR process. It is important to know the orders of the process Zt. In the most cases we find only some bounds for them. From the practical point of view, our consid...
متن کاملthe application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)
هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2001
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(01)00057-4