TAIL BEHAVIOR OF THE STATIONARY DENSITY OF GENERAL NONLINEAR AUTOREGRESSIVE PROCESSES OF ORDER-1

被引：29

作者：

DIEBOLT, J ^{[1
]}

GUEGAN, D ^{[1
]}

机构：

[1] UNIV PARIS 13,INST GALILEE,DEPT MATH,F-93430 VILLETANEUSE,FRANCE

来源：

JOURNAL OF APPLIED PROBABILITY | 1993年 / 30卷 / 02期

关键词：

MARKOV CHAIN; TAIL OF THE STATIONARY DENSITY; NONLINEAR TIME SERIES;

D O I：

10.2307/3214841

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We examine the main properties of the Markov chain X(t) = T(X(t -1)) + sigma(X(t - 1))epsilon(t). Under general and tractable assumptions, we derive bounds for the tails of the stationary density of the process {X(t)} in terms of the common density of the epsilon(t)'s.

引用

页码：315 / 329

页数：15

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