{"paper":{"title":"A nonlinear model for long memory conditional heteroscedasticity","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.TH"],"primary_cat":"math.ST","authors_text":"Donatas Surgailis, Ieva Grublyt\\.e, Paul Doukhan","submitted_at":"2015-01-31T12:20:19Z","abstract_excerpt":"We discuss a class of conditionally heteroscedastic time series models satisfying the equation $r_t= \\zeta_t \\sigma_t$, where $\\zeta_t$ are standardized i.i.d. r.v.'s and the conditional standard deviation $\\sigma_t$ is a nonlinear function $Q$ of inhomogeneous linear combination of past values $r_s, s<t$ with coefficients $b_j$. The existence of stationary solution $r_t$ with finite $p$th moment, $0< p < \\infty $ is obtained under some conditions on $Q, b_j$ and $p$th moment of $\\zeta_0$. Weak dependence properties of $r_t$ are studied, including the invariance principle for partial sums of L"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1502.00095","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}