Search Results - "Meitz, Mika"

Identification and estimation of non-Gaussian structural vector autoregressions by Lanne, Markku, Meitz, Mika, Saikkonen, Pentti

“…Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are needed in…”
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Testing identification via heteroskedasticity in structural vector autoregressive models by Lütkepohl, Helmut, Meitz, Mika, Netšunajev, Aleksei, Saikkonen, Pentti

“…Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the…”
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Statistical inference for generative adversarial networks and other minimax problems by Meitz, Mika

“…This paper studies generative adversarial networks (GANs) from the perspective of statistical inference. A GAN is a popular machine learning method in which…”
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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES by Meitz, Mika

“…We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a, Journal of Econometrics 92, 173–192). This family contains various popular…”
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A note on the geometric ergodicity of a nonlinear AR-ARCH model by Meitz, Mika, Saikkonen, Pentti

“…This note studies the geometric ergodicity of nonlinear autoregressive models with conditionally heteroskedastic errors. A nonlinear autoregression of order p…”
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Stability of nonlinear AR-GARCH models by Meitz, Mika, Saikkonen, Pentti

“…  This article studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of…”
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Testing for observation-dependent regime switching in mixture autoregressive models by Meitz, Mika, Saikkonen, Pentti

“…Testing for regime switching when the regime switching probabilities are specified either as constants (‘mixture models’) or are governed by a finite-state…”
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A mixture autoregressive model based on Student's t-distribution by Meitz, Mika, Preve, Daniel, Saikkonen, Pentti

“…A new mixture autoregressive model based on Student's t-distribution is proposed. A key feature of our model is that the conditional t-distributions of the…”
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Gaussian mixture vector autoregression by Kalliovirta, Leena, Meitz, Mika, Saikkonen, Pentti

“…This paper proposes a new nonlinear vector autoregressive (VAR) model referred to as the Gaussian mixture vector autoregressive (GMVAR) model. The GMVAR model…”
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PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS by Meitz, Mika, Saikkonen, Pentti

“…This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general…”
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ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS by Meitz, Mika, Saikkonen, Pentti

“…This paper studies a class of Markov models that consist of two components. Typically, one of the components is observable and the other is unobservable or…”
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Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity by Meitz, Mika, Saikkonen, Pentti

“…We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model…”
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A Gaussian Mixture Autoregressive Model for Univariate Time Series by Kalliovirta, Leena, Meitz, Mika, Saikkonen, Pentti

“…The Gaussian mixture autoregressive model studied in this article belongs to the family of mixture autoregressive models, but it differs from its previous…”
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Erratum to: Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

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Statistical inference for generative adversarial networks and other minimax problems by Meitz, Mika

“…This paper studies generative adversarial networks (GANs) from the perspective of statistical inference. A GAN is a popular machine learning method in which…”
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Evaluating Models of Autoregressive Conditional Duration by Meitz, Mika, Teräsvirta, Timo

“…This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration…”
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Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity by Meitz, Mika, Saikkonen, Pentti

“…In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional…”
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Subgeometrically ergodic autoregressions by Meitz, Mika, Saikkonen, Pentti

“…In this paper we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear…”
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Testing for Linear and Nonlinear Predictability of Stock Returns by Lanne, M., Meitz, M., Saikkonen, P.

“…We develop tests for predictability in a first-order ARMA model often suggested for stock returns. Instead of the conventional ARMA model, we consider its…”
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Subgeometric ergodicity and $\beta$-mixing by Meitz, Mika, Saikkonen, Pentti

“…It is well known that stationary geometrically ergodic Markov chains are $\beta$-mixing (absolutely regular) with geometrically decaying mixing coefficients…”
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