On the stationary marginal distributions of subclasses of multivariate setar processes of order one

DOI10.1111/JTSA.12514zbMATH Open1446.62241OpenAlexW2996716965WikidataQ126590489 ScholiaQ126590489MaRDI QIDQ5111853FDOQ5111853

Authors: Soumya Das, Marc G. Genton 

Publication date: 27 May 2020

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/660926

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zbMATH Keywords

nonlinear time seriesnonlinear autoregressive modelmultivariate skew-normal distributionstationary marginal distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10)

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Cited In (3)

• The marginal distribution function of threshold-type processes with central symmetric innovations
• A note on stationarity of the MTAR process on the boundary of the stationarity region
• Information quantity evaluation of multivariate SETAR processes of order one and applications

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