On calculation of stationary density of autoregressive processes

Kybernetika

Volumn 36, Issue 3, 2000, Pages 311-319

  Anděl, Jiří ^a   Hrach, Karel ^b  

^a CHARLES UNIVERSITY   (Czech Republic)

^b J E PURKINJE UNIVERSITY   (Czech Republic)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034354539     PISSN: 00235954     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (20)

1. J. Anděl: Dependent random variables with a given marginal distribution. Acta Univ. Carolin. - Math. Phys. 24 (1983), 3-11.
2. J. Anděl: Marginal distributions of autoregressive processes. In: Trans. 9th Prague Conf. Inform. Theory, Statist. Decision Functions, Random Processes, Academia, Prague 1983, pp. 127-135.
3. J. Anděl: On linear processes with given moments. J. Time Ser. Anal. 8 (1987), 373-378.
4. J. Anděl: AR(1) processes with given moments of marginal distribution. Kybernetika 22 (1989), 337-347.
5. J. Anděl and T. Bartoň: A note on the threshold AR(1) model with Cauchy innovations. J. Time Ser. Anal. 7 (1986), 1-5.
6. J. Anděl and M. Garrido: On stationary distributions of some time series models. In: Trans. 10th Prague Conf. Inform. Theory, Statist. Decision Functions, Random Processes, Academia, Prague 1988, pp. 193-202.
7. J. Anděl, M. Gómez and C. Vega: Stationary distribution of some nonlinear AR(1) processes. Kybernetika 25 (1989), 453-460.
8. J. Anděl, I. Netuka and K. Zvára: On threshold autoregressive processes. Kybernetika 20 (1984), 89-106.
9. J. Bernier: Inventaire des modèles et processus stochastique applicables de la description des déluts journaliers des riviers. Rev. Inst. Internat. Statist. 38 (1970), 50-71.
10. R. A. Davis and M. Rosenblatt: Parameter estimation for some time series models without contiguity. Statist. Probab. Lett. 11 (1991), 515-521.
11. W. Feller: An Introduction to Probability Theory and its Applications II. Wiley, New York 1966.
12. D. P. Gaver and P. A. W. Lewis: First-order autoregressive gamma sequences and point processes. Adv. in Appl. Probab. 12 (1980), 727-745.
13. G. Haiman: Upper and lower bounds for the tail of the invariant distribution of some AR(1) processes. In: Asymptotic Methods in Probability and Statistics (B. Szyszkowicz, ed.), North-Holland/Elsevier, Amsterdam 1998, pp. 723-730.
14. J. D. Hamilton: Time Series Analysis. Princeton University Press, Princeton 1994.
15. M. Loève: Probability Theory. Second edition. Van Nostrand, Princeton 1955.
16. A. Rényi: Probability Theory. Akadémiai Kiadó, Budapest 1970.
17. M. M. Sondhi: Random processes with specified spectral density and first-order probability density. Bell System Technical J. 62 (1983), 679-701.
18. J. Štěpán: Teorie pravděpodobnosti. Academia, Praha 1987.
19. H. Tong: Non-linear Time Series. Clarendon Press, Oxford 1990.
20. Wolfram Research, Inc.: Mathematica, Version 2.2. Wolfram Research, Inc., Champaign, Illinois 1994.