Nonlinear autoregressive models with heavy-tailed innovation (Q2574671)
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scientific article; zbMATH DE number 2234349
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| English | Nonlinear autoregressive models with heavy-tailed innovation |
scientific article; zbMATH DE number 2234349 |
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Nonlinear autoregressive models with heavy-tailed innovation (English)
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30 November 2005
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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.
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innovation
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tail probability
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0.8834013938903809
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0.7923676371574402
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0.7909336686134338
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