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摘要翻译：
本文研究了具有条件异方差周期性的一类周期GARCH过程(PGARCH)的一些概率性质。在这些模型中，允许参数在不同状态之间切换，使其结构具有周期ARMA过程(PARMA)的许多性质。在一般和可处理的假设下，我们研究了PGARCH(p，q)过程的严格和二阶周期平稳性、高阶矩的存在性、协方差结构、几何遍历性和混合性。文中还提出了一些例子来说明各种概念。
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英文标题：
《On some probabilistic properties of periodic GARCH processes》
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作者：
Abdelouahab Bibi, Abdelhakim Aknouche
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最新提交年份：
2007
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
This paper examines some probabilistic properties of the class of periodic GARCH processes (PGARCH) which feature periodicity in conditional heteroskedasticity. In these models, the parameters are allowed to switch between different regimes, so that their structure shares many properties with periodic ARMA process (PARMA). We examine the strict and second order periodic stationarities, the existence of higher-order moments, the covariance structure, the geometric ergodicity and -mixing of the PGARCH(p,q) process under general and tractable assumptions. Some examples are proposed to illustrate the various concepts.
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PDF链接：
https://arxiv.org/pdf/709.2983
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