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Kybernetika 41(6):735-742, 2005.

Stationary Distribution of Absolute Autoregression

Jiří Anděl and Pavel Ranocha


Abstract:

A procedure for computation of stationary density of the absolute autoregression (AAR) model driven by white noise with symmetrical density is described. This method is used for deriving explicit formulas for stationary distribution and further characteristics of AAR models with given distribution of white noise. The cases of Gaussian, Cauchy, Laplace and discrete rectangular distribution are investigated in detail.


Keywords: absolute autoregression; stationary distribution; marginal distribution;


AMS: 60G10;


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BIB TeX

@article{kyb:2005:6:735-742,

author = {And\v{e}l, Ji\v{r}\'{\i} and Ranocha, Pavel},

title = {Stationary Distribution of Absolute Autoregression},

journal = {Kybernetika},

volume = {41},

year = {2005},

number = {6},

pages = {735-742}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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