Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One
Résumé
We examine the main properties of the Markov chain X t = T(X t-1 )+σ(X t-1 )ɛ t . Under general and tractable assumptions, we derive bounds for the tails of the stationary density of the process {X t } in terms of the common density of the ɛ t 's.