The Tail of the Stationary Distribution of a Random Coefficient AR(q) Model

Mathematik, Informatik und Statistik - Open Access LMU - Teil 01/03 ›

0:00 | Jan 1st, 2002

We investigate a stationary random cofficient autoregressive process. Using renewal type arguments tailor-made for such processes we show that the stationary distribution has a power-law tail. When th...Show More