IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v7y1986i1p51-72.html
   My bibliography  Save this article

Some Doubly Stochastic Time Series Models

Author

Listed:
  • Dag Tjøstheim

Abstract

. We consider time series models obtained by replacing the parameters of autoregressive models by stochastic processes. Special attention is given to the problem of finding conditions for stationarity and to the problem of forecasting. For the first problem we are only able to obtain solutions in special cases, and the emphasis is on techniques rather than obtaining the most general results in each case. For the second problem more complete results are obtained by exploiting similarities with discrete time (nonlinear) filtering theory. The methods introduced are illustrated on two standard examples, one of state space type and one where the parameter process is a Markov chain.

Suggested Citation

  • Dag Tjøstheim, 1986. "Some Doubly Stochastic Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 51-72, January.
    • Handle: RePEc:bla:jtsera:v:7:y:1986:i:1:p:51-72
    DOI: 10.1111/j.1467-9892.1986.tb00485.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1986.tb00485.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1986.tb00485.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
    2. Aivazian, Sergey & Bereznyatskiy, Alexander & Brodsky, Boris & Darkhovsky, Boris, 2015. "Statistical analysis of variable-structure models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 84-105.
    3. Massimiliano Marcellino & Oscar Jorda, "undated". "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:7:y:1986:i:1:p:51-72. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.