Nonlinear autoregressive models with heavy-tailed innovation

doi:10.1360/03ys0321

	Nonlinear autoregressive models with heavy-tailed innovation
	Jin, Y ; An, HZ
刊名	SCIENCE IN CHINA SERIES A-MATHEMATICS
	2005-03-01
卷号	48 期号:3 页码:333-340
关键词	nonlinear autoregressive model innovation tail probability
ISSN号	1006-9283
DOI	10.1360/03ys0321
英文摘要	In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.
WOS研究方向	Mathematics
语种	英语
出版者	SCIENCE CHINA PRESS
WOS记录号	WOS:000228950900005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/1485]
专题	中国科学院数学与系统科学研究院
通讯作者	An, HZ
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Renmin Univ China, Sch Stat, Beijing 100872, Peoples R China
推荐引用方式 GB/T 7714	Jin, Y,An, HZ. Nonlinear autoregressive models with heavy-tailed innovation[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2005,48(3):333-340.
APA	Jin, Y,&An, HZ.(2005).Nonlinear autoregressive models with heavy-tailed innovation.SCIENCE IN CHINA SERIES A-MATHEMATICS,48(3),333-340.
MLA	Jin, Y,et al."Nonlinear autoregressive models with heavy-tailed innovation".SCIENCE IN CHINA SERIES A-MATHEMATICS 48.3(2005):333-340.