Citation
J. Diebolt et D. Guegan, TAIL BEHAVIOR OF THE STATIONARY DENSITY OF GENERAL NONLINEAR AUTOREGRESSIVE PROCESSES OF ORDER-1, Journal of Applied Probability, 30(2), 1993, pp. 315-329
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
ISSN journal
00219002
Volume
30
Issue
2
Year of publication
1993
Pages
315 - 329
Database
ISI
SICI code
0021-9002(1993)30:2<315:TBOTSD>2.0.ZU;2-J
Abstract
We examine the main properties of the Markov chain X(t) = T(X(t -1)) sigma(X(t - 1))epsilon(t). Under general and tractable assumptions, w
e derive bounds for the tails of the stationary density of the process
{X(t)} in terms of the common density of the epsilon(t)'s.