M. Denker

collaborators

3 papers

math.ST2026

Remarks on stationary GARCH processes under heavy tail distributions

Marc Taberner-Ortiz, Manfred Denker

Let $(X_{n})_{n \in Z}$ be a GARCH process with $E (X_{0}^{4}) < \infty$ , and let $I^¼_{n}$ denote the distribution of $\frac{1}{n} \sum_{i = 1}^{n} [X_{i}^{2} - E (X_{0}^{2})]$ . We derive…

math.DS2024

Parametrized Families of Gibbs Measures and their Statistical Inference

Manfred Denker, Marc KeÃebÃ¶hmer, Artur O. Lopes +1

For HÃ¶lder continuous functions $f_{i}$ , $i = 0, \dots, d$ , on a subshift of finite type and $I^ \subset R^{d}$ we consider a parametrized family of potentials $\{F_Î¸= f_0+\sum…

math.PR2024

Substituting Independent Processes

Manfred Denker

It is shown by constructing Rohlins canonical measures that for a strictly stationary, d-dimensional vector-valued process X there exists another strictly stationary d-dimensional…