Nonlinear autoregressive models with heavy-tailed innovation

zbMath1076.62089MaRDI QIDQ2574671

Yang Jin, Hong-Zhi An

Publication date: 30 November 2005

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

tail probability; innovation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G32: Statistics of extreme values; tail inference