The Stationary Marginal Distribution of a Threshold AR(1) Process

DOI10.1111/J.1467-9892.2004.00339.XMaRDI QIDQ4828172zbMATH OpenOpenAlexFDO

Authors Wilfried Loges

Publication date 24 November 2004

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2004.00339.x

zbMATH Keywords

invariant measuresFrobenius-Perron operatornonlinear autoregressive modelsstationary marginal distributionthreshold AR(1) process

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• State-discretization of \(V\)-geometrically ergodic Markov chains and convergence to the stationary distribution
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