The stationary marginal distribution of a threshold AR(1) process

Journal of Time Series Analysis

Volumn 25, Issue 1, 2004, Pages 103-125

  Loges, Wilfried ^a  

^a UNIVERSITY OF APPLIED SCIENCES   (Germany)

Author keywords

Frobenius Perron operator; Invariant measures; Non linear auto regressive models; Stationary distributions; TAR models

Indexed keywords

EID: 1142302881     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2004.00339.x     Document Type: Review

References (9)

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9. _ (1990) Non-linear Time Series. Oxford Statistical Science Series, Vol. 6. Oxford: Clarendon Press. Reprinted 1999.