Department of Economics and Business Economics

Stationarity and ergodicity of univariate generalized autoregressive score processes

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Stationarity and ergodicity of univariate generalized autoregressive score processes. / Blasques, Francisco ; Koopman, Siem Jan; Lucas, André.

In: Electronic Journal of Statistics, Vol. 8, No. 1, 2014, p. 1088-1112.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Blasques, F, Koopman, SJ & Lucas, A 2014, 'Stationarity and ergodicity of univariate generalized autoregressive score processes', Electronic Journal of Statistics, vol. 8, no. 1, pp. 1088-1112. https://doi.org/10.1214/14-EJS924

APA

CBE

MLA

Blasques, Francisco , Siem Jan Koopman and André Lucas. "Stationarity and ergodicity of univariate generalized autoregressive score processes". Electronic Journal of Statistics. 2014, 8(1). 1088-1112. https://doi.org/10.1214/14-EJS924

Vancouver

Author

Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André. / Stationarity and ergodicity of univariate generalized autoregressive score processes. In: Electronic Journal of Statistics. 2014 ; Vol. 8, No. 1. pp. 1088-1112.

Bibtex

@article{224f052e54cc45f5a0b593aca90ce320,
title = "Stationarity and ergodicity of univariate generalized autoregressive score processes",
author = "Francisco Blasques and Koopman, {Siem Jan} and Andr{\'e} Lucas",
year = "2014",
doi = "10.1214/14-EJS924",
language = "English",
volume = "8",
pages = "1088--1112",
journal = "Electronic Journal of Statistics",
issn = "1935-7524",
publisher = "nstitute of Mathematical Statistics",
number = "1",

}

RIS

TY - JOUR

T1 - Stationarity and ergodicity of univariate generalized autoregressive score processes

AU - Blasques, Francisco

AU - Koopman, Siem Jan

AU - Lucas, André

PY - 2014

Y1 - 2014

U2 - 10.1214/14-EJS924

DO - 10.1214/14-EJS924

M3 - Journal article

VL - 8

SP - 1088

EP - 1112

JO - Electronic Journal of Statistics

JF - Electronic Journal of Statistics

SN - 1935-7524

IS - 1

ER -