Skip to main content


eCommons@Cornell

eCommons@Cornell >
College of Engineering >
Operations Research and Information Engineering >
ORIE Technical Reports >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1813/28598
Title: Fractional moments of solutions to stochastic recurrence equations
Authors: Mikosch, Thomas
Samorodnitsky, Gennady
Tafakori, Laleh
Keywords: random recursion
fractional moment
stationary solution
GARCH
Issue Date: 13-Mar-2012
Abstract: In this paper we study the fractional moments of the stationary solution to a stochastic recursion. We derive recursive formulas for the fractional moments of the solution. Special attention is given to the case when the additive term has an Erlang distribution. We provide various approximations to the moments and show their performance in a small numerical study
URI: http://hdl.handle.net/1813/28598
Appears in Collections:ORIE Technical Reports

Files in This Item:

File Description SizeFormat
s031212.pdfMain article267.71 kBAdobe PDFView/Open

Refworks Export

Items in eCommons are protected by copyright, with all rights reserved, unless otherwise indicated.

 

© 2014 Cornell University Library Contact Us