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Article dans une revue Journal of Applied Probability Année : 1993

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.
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Dates et versions

halshs-00199526, version 1 (19-12-2007)

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  • HAL Id : halshs-00199526 , version 1

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Jean Diebolt, Dominique Guegan. Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One. Journal of Applied Probability, 1993, 30 (2), pp.315-329. ⟨halshs-00199526⟩
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