Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One

Jean Diebolt and Dominique Guegan ()
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Jean Diebolt: UPMC - Université Pierre et Marie Curie - Paris 6
Dominique Guegan: IG - Institut Galilée - UP13 - Université Paris 13

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Abstract: 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.

Keywords: Markov Chain; non-linear time series; tail of the stationary density (search for similar items in EconPapers)
Date: 1993-06
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Citations: View citations in EconPapers (3)

Published in Journal of Applied Probability, 1993, 30 (2), pp.315-329

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00199526

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