Nonlinear autoregressive models with heavy-tailed innovation (Q2574671): Difference between revisions

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 stationarity and ergodicity, the one-dimensional stationary marginal distributions have the heavy-tailed probability property with the same index as that of the innovation's tail probability.