Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process

Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process

Clusters of large values are observed in sample paths of certain open-loop threshold autoregressive (TAR) stochastic processes. In order to characterize the stochastic mechanism that generates this empirical stylized fact, three types of marginal conditional distributions of the underlying stochasti...

Full description

Bibliographic Details
Main Authors: FABIO H. NIETO, EDNA C. MORENO
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2016-07-01
Series:Revista Colombiana de Estadística
Subjects:
Conditional heteroscedasticity
Nonlinear stochastic process
Open-loop TAR model
Stationary nonlinear stochastic process
Online Access:http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512016000200001&lng=en&tlng=en

Internet

http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512016000200001&lng=en&tlng=en

Similar Items