summary:A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
Moving averages of random series with random coefficients and random coefficient auto-model
AbstractUsing a two stage regression procedure estimates of the unknown parameters of a class of mul...
summary:A linear moving average model with random coefficients (RCMA) is proposed as more general al...
The Threshold Moving Average model with k regimes of order q is examined. In particular we provide ...
Recent interest in polynomial moving average models has raised the question of their invertibility. ...
In this chapter we propose a class of nonlinear time series models in which the underlying process s...
AbstractA generalized definition of invertibility is proposed and applied to linear, non-linear and ...
summary:This work deals with a multivariate random coefficient autoregressive model (RCA) of the fir...
In this thesis, we construct ARMA model for random periodic processes. We stress on the mixed period...
textabstractOne of the most widely-used multivariate conditional volatility models is the dynamic co...
We propose a test for invertibility or fundamentalness of structural vector autoregressive moving av...
We propose a test to discern between an ordinary autoregressive model, and a random coefficient one....
We investigate the first-order threshold moving-average model. We obtain a sufficient condition for ...
summary:One of the most widely-used multivariate conditional volatility models is the dynamic condit...
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
Moving averages of random series with random coefficients and random coefficient auto-model
AbstractUsing a two stage regression procedure estimates of the unknown parameters of a class of mul...
summary:A linear moving average model with random coefficients (RCMA) is proposed as more general al...
The Threshold Moving Average model with k regimes of order q is examined. In particular we provide ...
Recent interest in polynomial moving average models has raised the question of their invertibility. ...
In this chapter we propose a class of nonlinear time series models in which the underlying process s...
AbstractA generalized definition of invertibility is proposed and applied to linear, non-linear and ...
summary:This work deals with a multivariate random coefficient autoregressive model (RCA) of the fir...
In this thesis, we construct ARMA model for random periodic processes. We stress on the mixed period...
textabstractOne of the most widely-used multivariate conditional volatility models is the dynamic co...
We propose a test for invertibility or fundamentalness of structural vector autoregressive moving av...
We propose a test to discern between an ordinary autoregressive model, and a random coefficient one....
We investigate the first-order threshold moving-average model. We obtain a sufficient condition for ...
summary:One of the most widely-used multivariate conditional volatility models is the dynamic condit...
none2siWe introduce a certain Markovian representation for the threshold autoregressive moving-avera...
Moving averages of random series with random coefficients and random coefficient auto-model
AbstractUsing a two stage regression procedure estimates of the unknown parameters of a class of mul...