The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

DOI10.1214/aoap/1015345401zbMath1010.62083OpenAlexW1974159558MaRDI QIDQ1872440

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015345401

zbMATH Keywords

regular variation Markov processes heavy tails Tauberian theorem geometric ergodicity autoregressive process heteroscedastic model ARCH model recurrent Harris chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Statistics of extreme values; tail inference (62G32) Discrete-time Markov processes on general state spaces (60J05)

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