The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors (Q1872440)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors |
scientific article |
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The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors (English)
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6 May 2003
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ARCH model
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autoregressive process
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geometric ergodicity
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heavy tails
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heteroscedastic model
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Markov processes
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recurrent Harris chains
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regular variation
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Tauberian theorem
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