Gespeichert in:
| 1. Verfasser: | |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2601.11237 |
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Inhaltsangabe:
- Time series often exhibit non-ergodic behaviour that complicates forecasting and inference. This article proposes a likelihood-based approach for estimating ergodicity transformations that addresses such challenges. The method is broadly compatible with standard models, including Gaussian processes, ARMA, and GARCH. A detailed simulation study using geometric and arithmetic Brownian motion demonstrates the ability of the approach to recover known ergodicity transformations. A further case study on the large macroeconomic database FRED-QD shows that incorporating ergodicity transformations can provide meaningful improvements over conventional transformations or naive specifications in applied work.