Stationarity and ergodicity of univariate generalized autoregressive score processes

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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 newspaper › Journal article › Research › peer-review

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 -

Department of Economics and Business Economics