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Description: |
In this talk we analyse the presence of the Taylor property in linear models. Limiting the study to non-negative models, we begin by recalling the main theoretical results on the occurrence of the Taylor property in autoregressive models of order one. These results are discussed in models with significantly different values of the kurtosis coefficient. Moreover, we relate the presence of the Taylor property to the kurtosis of the model and we show that the Taylor property is present if and only if the generator process is symmetric or right-skewed distributed.
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Date: |
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| Start Time: |
14:30 |
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Speaker: |
Cristina Martins (DMUC, Univ. Coimbra)
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Institution: |
DMUC, Univ. Coimbra
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Place: |
Sala 5.4
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| Research Groups: |
-Probability and Statistics
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See more:
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