On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
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Publication:3410924
DOI10.1239/jap/1152413732zbMath1110.62115OpenAlexW2140204192MaRDI QIDQ3410924
Donatas Surgailis, Remigijus Leipus, Vygantas Paulauskas
Publication date: 16 November 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1152413732
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Renewal theory (60K05)
Related Items
Renewal regime switching and stable limit laws, Aggregation of network traffic and anisotropic scaling of random fields
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