Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One
Diebolt, Jean ; Guegan, Dominique
HAL, halshs-00199526 / Harvested from HAL
Text on HAL
We examine the main properties of the Markov chain X t = T(X t-1 )+σ(X t-1 )ɛ 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 ɛ t 's.
Publié le : 1993-06-05
Classification:  Markov Chain,  non-linear time series,  tail of the stationary density,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{halshs-00199526,
     author = {Diebolt, Jean and Guegan, Dominique},
     title = {Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One},
     journal = {HAL},
     volume = {1993},
     number = {0},
     year = {1993},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00199526}
}

Diebolt, Jean; Guegan, Dominique. Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One. HAL, Tome 1993 (1993) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00199526/