The tail of the stationary distribution of a random coefficient AR(q) model

Annals of Applied Probability

Volumn 14, Issue 2, 2004, Pages 971-1005

  Klüppelberg, Claudia ^a   Peroamenchtchikov, Serguei ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b UNIVERSITÉ DE ROUEN   (France)

Author keywords

ARCH model; Autoregressive model; Geometric ergodicity; Heteroscedastic model; Random coefficient autoregressive process; Random recurrence equation; Regular variation; Renewal theorem for Markov chains; Strong mixing

Indexed keywords

EID: 13344293785     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000189     Document Type: Article

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