The tail of the stationary distribution of a random coefficient AR(q) model
Probability
2007-05-23 v1
Abstract
We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the model is in distribution equivalent to an autoregressive process with ARCH errors. Hence, we obtain the tail behavior of any such model of arbitrary order.
Keywords
Cite
@article{arxiv.math/0405297,
title = {The tail of the stationary distribution of a random coefficient AR(q) model},
author = {Claudia Kluppelberg and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:math/0405297},
year = {2007}
}