The Marginal Density of a TMA(1) Process

Dong Li and Jiaming Qiu

Journal of Time Series Analysis, 2020, vol. 41, issue 3, 476-484

Abstract: This note reconsiders the marginal density of a threshold moving average process and proposes a simple yet effective numerical algorithm to implement that by solving an associated integral equation. This algorithm can also be applied to calculate stationary probability density or distribution functions of a few other types of nonlinear stationary stochastic processes numerically.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/jtsa.12501

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:41:y:2020:i:3:p:476-484

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().