Previous |  Up |  Next


Title: Stationary distribution of absolute autoregression (English)
Author: Anděl, Jiří
Author: Ranocha, Pavel
Language: English
Journal: Kybernetika
ISSN: 0023-5954
Volume: 41
Issue: 6
Year: 2005
Pages: [735]-742
Summary lang: English
Category: math
Summary: A procedure for computation of stationary density of the absolute autoregression (AAR) model driven by white noise with symmetrical density is described. This method is used for deriving explicit formulas for stationary distribution and further characteristics of AAR models with given distribution of white noise. The cases of Gaussian, Cauchy, Laplace and discrete rectangular distribution are investigated in detail. (English)
Keyword: absolute autoregression
Keyword: stationary distribution
Keyword: marginal distribution
MSC: 60G10
MSC: 62M05
MSC: 62M10
idZBL: Zbl 1249.60067
idMR: MR2193862
Date available: 2009-09-24T20:12:47Z
Last updated: 2015-03-23
Stable URL:
Reference: [1] Anděl J.: Dependent random variables with a given marginal distribution.Acta Univ. Carolin. – Math. Phys. 24 (1983), 3–12 MR 0733140
Reference: [2] Anděl J.: Marginal distributions of autoregressive processes.In: Trans. 9th Prague Conference Inform. Theory, Statist. Dec. Functions, Random Processes. Academia, Praha 1983 Zbl 0537.60027, MR 0757732
Reference: [3] Anděl J., Bartoň T.: A note on the threshold AR(1) model with Cauchy innovations.J. Time Ser. Anal. 7 (1986), 1–5 Zbl 0587.60033, MR 0832348, 10.1111/j.1467-9892.1986.tb00481.x
Reference: [4] Anděl J., Netuka, I., Zvára K.: On threshold autoregressive processes.Kybernetika 20 (1984), 89–106 Zbl 0547.62058, MR 0747062
Reference: [5] Chan K. S., Tong H.: A note on certain integral equations associated with non-linear time series analysis.Probab. Theory Related Fields 73 (1986), 153–159 MR 0849071, 10.1007/BF01845999
Reference: [6] Loges W.: The stationary marginal distribution of a threshold AR(1) process.J. Time Ser. Anal. 25 (2004), 103–125 Zbl 1051.62080, MR 2042113, 10.1111/j.1467-9892.2004.00339.x
Reference: [7] Tong H.: Non-Linear Time Series.Clarendon Press, Oxford 1990 Zbl 0835.62076


Files Size Format View
Kybernetika_41-2005-6_4.pdf 1.125Mb application/pdf View/Open
Back to standard record
Partner of
EuDML logo