International Conference «Mathematical and Informational Technologies, MIT-2011»
(IX Conference «Computational and Informational Technologies for Science,
Engineering and Education»)
Popović B. Stojanović V.The Distribution of Split-SV(1) ModelReporter: Popović B.In this paper we continue our research on special type heteroscedastic time series that we defined in [1]. The model Split-SV(1) is wide sense stationary, but not strict stationary of any order. The one dimensional marginal distribution of the model is given. [1] Stojanović V., Popović B.: The models of stochastic volatility in applications, Proceeding of the conference SYM-OP-IS 2010, pp. 761-764, in Serbian To reports list |