The tail of the stationary distribution of a random coefficient AR(q) model

Simple item page
dc.creatorKluppelberg, Claudia
dc.creatorPergamenchtchikov, Serguei
dc.date2004-05-14
dc.date.accessioned2026-07-07T05:08:18Z
dc.date.available2026-07-07T05:08:18Z
dc.descriptionWe investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the model is in distribution equivalent to an autoregressive process with ARCH errors. Hence, we obtain the tail behavior of any such model of arbitrary order.
dc.identifierhttps://arxiv.org/abs/math/0405297
dc.identifierhttp://arxiv.org/abs/math/0405297
dc.identifierAnnals of Applied Probability 2004, Vol. 14, No. 2, 971-1005
dc.identifierdoi:10.1214/105051604000000189
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/71205
dc.subjectProbability
dc.subject60J10, 60H25 (Primary) 62P05, 91B28, 91B84 (Secondary)
dc.titleThe tail of the stationary distribution of a random coefficient AR(q) model
dc.typetext

Files

Collections

arXiv