Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67-84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes ...
Stochastic processes provide a rigorous framework for modelling systems that evolve over time under uncertainty, while extremal theory offers the tools for understanding the behaviour of rare, ...
This paper considers a local least absolute deviation estimation for unit root processes with generalized autoregressive conditional heteroskedastic (GARCH) errors and derives its asymptotic ...
CATALOG DESCRIPTION: Advanced topics in random processes: point processes, Wiener processes; Markov processes, spectral representation, series expansion of random processes, linear filtering, Wiener ...
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