The tail of the stationary distribution of a random coefficient AR(q) model.
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Publication:1879899
Random matrices (algebraic aspects) (15B52) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Abstract: We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the model is in distribution equivalent to an autoregressive process with ARCH errors. Hence, we obtain the tail behavior of any such model of arbitrary order.
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