Mixing properties of ARCH and time-varying ARCH processes
Fryzlewicz, Piotr ; Subba Rao, Suhasini
Bernoulli, Tome 17 (2011) no. 1, p. 320-346 / Harvested from Project Euclid
There exist very few results on mixing for non-stationary processes. However, mixing is often required in statistical inference for non-stationary processes such as time-varying ARCH (tvARCH) models. In this paper, bounds for the mixing rates of a stochastic process are derived in terms of the conditional densities of the process. These bounds are used to obtain the α, 2-mixing and β-mixing rates of the non-stationary time-varying ARCH(p) process and ARCH(∞) process. It is shown that the mixing rate of the time-varying ARCH(p) process is geometric, whereas the bound on the mixing rate of the ARCH(∞) process depends on the rate of decay of the ARCH(∞) parameters. We note that the methodology given in this paper is applicable to other processes.
Publié le : 2011-02-15
Classification:  2-mixing,  absolutely regular (β-mixing) ARCH(∞),  conditional densities,  strong mixing (α-mixing),  time-varying ARCH
@article{1297173845,
     author = {Fryzlewicz, Piotr and Subba Rao, Suhasini},
     title = {Mixing properties of ARCH and time-varying ARCH processes},
     journal = {Bernoulli},
     volume = {17},
     number = {1},
     year = {2011},
     pages = { 320-346},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1297173845}
}
Fryzlewicz, Piotr; Subba Rao, Suhasini. Mixing properties of ARCH and time-varying ARCH processes. Bernoulli, Tome 17 (2011) no. 1, pp.  320-346. http://gdmltest.u-ga.fr/item/1297173845/