An autoregressive model leading to stable distributions
Probability
2015-05-29 v2
Abstract
We construct an autoregressive model with random coefficients that has a stationary distribution after proper normalization. This limit distribution is found to be stable.
Cite
@article{arxiv.1505.06873,
title = {An autoregressive model leading to stable distributions},
author = {Lev B. Klebanov and Gregory Temnov and Ashot Kakosyan},
journal= {arXiv preprint arXiv:1505.06873},
year = {2015}
}