Geodesic
Stationary distribution of absolute autoregression
Kybernetika, Tome 41 (2005) no. 6, p. [735]

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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.
Classification : 60G10, 62M05, 62M10
Keywords: absolute autoregression; stationary distribution; marginal distribution 
@article{KYB_2005__41_6_a3,
     author = {And\v{e}l, Ji\v{r}{\'\i} and Ranocha, Pavel},
     title = {Stationary distribution of absolute autoregression},
     journal = {Kybernetika},
     pages = {[735]},
     publisher = {mathdoc},
     volume = {41},
     number = {6},
     year = {2005},
     mrnumber = {2193862},
     zbl = {1249.60067},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a3/}
}
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Anděl, Jiří; Ranocha, Pavel. Stationary distribution of absolute autoregression. Kybernetika, Tome 41 (2005) no. 6, p. [735]. http://geodesic.mathdoc.fr/item/KYB_2005__41_6_a3/