Methods for calculating stationary distribution in linear models of time series

Statistics

Volumn 41, Issue 4, 2007, Pages 279-287

  Andel J ^a   Netuka, I ^a   Ranocha, P ^a  

^a CHARLES UNIVERSITY   (Czech Republic)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34547750895     PISSN: 02331888     EISSN: 10294910     Source Type: Journal    
DOI: 10.1080/02331880701270663     Document Type: Article

References (8)

1. Anděl, J. and Hrach, K., 2000, On calculation of stationary density of autoregressive processes. Kybernetika, 36, 311-319.
2. Ranocha, P., 2004, Stationary distribution of time series. In: J. Šafránková (Eds) WDS"04 Proceedings of Contributed Papers: Part I - Mathematics and Computer Science(Prague: Matfyzpress), pp. 30-34.
3. Anděl, J., Netuka, I. and Zvára, K., 1984, On threshold autoregressive processes. Kybernetika, 20, 89-106.
4. Anděl, J. and Bartoň, T., 1986, A. note on the threshold AR(1) model with Cauchy innovations. Journal of Time Series Analysis, 7, 1-5.
5. Tong, H., 1990, Non-linear Time Series. A Dynamical. System Approach(Oxford: Clarendon Press).
6. Loges, W., 2004, The stationary marginal distribution of a threshold AR(I) process. Journal of Time Series Analysis, 25, 103-125.
7. Rudin, W., 1987, Real and Complex Analysis(3rd edn) (New York: McGraw-Hill, Inc.).
8. Haiman, G., 1998, Upper and lower bounds for the tail of the invariant distribution of some AR(1) processes. Asymptotic Methods in Probability and Statistics, 45, 723-730.