Nonlinear autoregressive models with heavy-tailed innovation

doi:10.1360/03ys0321

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	Nonlinear autoregressive models with heavy-tailed innovation
	Jin, Y ; An, HZ
	2005-03-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS
ISSN	1006-9283
卷号	48 期号:3 页码:333-340
摘要	In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.
关键词	nonlinear autoregressive model innovation tail probability
DOI	10.1360/03ys0321
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000228950900005
出版者	SCIENCE CHINA PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1486
专题	中国科学院数学与系统科学研究院
通讯作者	An, HZ
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Renmin Univ China, Sch Stat, Beijing 100872, Peoples R China
推荐引用方式 GB/T 7714	Jin, Y,An, HZ. Nonlinear autoregressive models with heavy-tailed innovation[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2005,48(3):333-340.
APA	Jin, Y,&An, HZ.(2005).Nonlinear autoregressive models with heavy-tailed innovation.SCIENCE IN CHINA SERIES A-MATHEMATICS,48(3),333-340.
MLA	Jin, Y,et al."Nonlinear autoregressive models with heavy-tailed innovation".SCIENCE IN CHINA SERIES A-MATHEMATICS 48.3(2005):333-340.