ARCH type bilinear weakly dependent models - Centre de Recherche en Économie et Statistique Accéder directement au contenu
Article Dans Une Revue Statistics A Journal of Theoretical and Applied Statistics Année : 2007

ARCH type bilinear weakly dependent models

Résumé

Giraitis and Surgailis (2002) introduced $ARCH$-type bilinear models for their specific long range dependence properties. We rather consider weak dependence properties of these models. The computation of mixing coefficients for such models does not look as an accessible objective. So, we resort to the notion of weak dependence introduced by Doukhan and Louhichi (1999), whose use seems more relevant here. The decay rate of the weak dependence coefficients sequence is established under different specifications of the model coefficients. This implies various limit theorems and asymptotics for statistical procedures. We also derive bounds for the joint densities of this model in the case of regular inputs.
Fichier principal
Vignette du fichier
revision2doukmadrosen_2593.pdf (277.48 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00141585 , version 1 (03-05-2007)

Identifiants

Citer

Paul Doukhan, Hélène Madré, Mathieu Rosenbaum. ARCH type bilinear weakly dependent models. Statistics A Journal of Theoretical and Applied Statistics, 2007, 41 (1), pp.31-45. ⟨10.1080/02331880601107064⟩. ⟨hal-00141585⟩
167 Consultations
186 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More