On functional definition of time-series models

被引：0

作者：

Lachout, Petr ^{[1
]}

机构：

[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Stat, Prague, Czech Republic

来源：

MATHEMATICAL METHODS IN ECONOMICS (MME 2014) | 2014年

关键词：

nonlinear time series; functional equation; ARMA process; ARCH process; recurrent procedure;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We present a discussion on a class of econometric models for time series given implicitly as a solution of a system of functional equations. Particularly, processes AR, ARMA, ARCH, GARCH are models of such a structure. These nonlinear time series models are treated from several points of view. Task of existence of a solution, possibility of numerical simulations and description of solutions are considered and partially solved in the article.

引用

页码：560 / 565

页数：6

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