A NOTE ON THE DISTRIBUTIONS OF NON‐LINEAR AUTOREGRESSIVE STOCHASTIC MODELS

J. Pemberton and H. Tong

Journal of Time Series Analysis, 1981, vol. 2, issue 1, 49-52

Abstract: Abstract. It is shown that an ergodic stationary non‐linear autoregressive stochastic process, perturbed by a white noise process with symmetric distributions, has symmetric stationary distributions if and only if the regression function is skew‐symmetric. The implications of this observation are discussed.

Date: 1981
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