Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/44814
Title: | On the Distribution Estimation of Power Threshold Garch Processes | Authors: | Gonçalves, Esmeralda Leite, Joana Mendes-Lopes, Nazaré |
Issue Date: | 2016 | Publisher: | Wiley | Project: | info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT | Serial title, monograph or event: | Journal of Time Series Analysis | Volume: | 37 | Issue: | 5 | Abstract: | The aim of this article is to estimate the probability distribution of power threshold generalized autoregressive conditional heteroskedasticity processes by establishing bounds for their finite dimensional laws. These bounds only depend on the parameters of the model and on the distribution function of its independent generating process. The application of this study to some particular models allows us to conjecture that this procedure is an adequate alternative to the corresponding estimation using the empirical distribution functions, particularly useful in the development of control charts for this kind of models. | URI: | https://hdl.handle.net/10316/44814 | DOI: | 10.1111/jtsa.12173 10.1111/jtsa.12173 |
Rights: | embargoedAccess |
Appears in Collections: | I&D CMUC - Artigos em Revistas Internacionais |
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On the distribution estimation_19112015.pdf | 470.05 kB | Adobe PDF | View/Open |
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