Nonlinear autoregressive models with heavy-tailed innovation
文献类型：期刊论文
| 作者 | Jin, Y; An, HZ |
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS
 |
| 出版日期 | 2005-03-01 |
| 卷号 | 48期号:3页码:333-340 |
| 关键词 | nonlinear autoregressive model innovation tail probability |
| ISSN号 | 1006-9283 |
| DOI | 10.1360/03ys0321 |
| 英文摘要 | In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlinear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000228950900005 |
| 出版者 | SCIENCE CHINA PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1485]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | An, HZ |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Renmin Univ China, Sch Stat, Beijing 100872, Peoples R China |
| 推荐引用方式 GB/T 7714 | Jin, Y,An, HZ. Nonlinear autoregressive models with heavy-tailed innovation[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2005,48(3):333-340. |
| APA | Jin, Y,&An, HZ.(2005).Nonlinear autoregressive models with heavy-tailed innovation.SCIENCE IN CHINA SERIES A-MATHEMATICS,48(3),333-340. |
| MLA | Jin, Y,et al."Nonlinear autoregressive models with heavy-tailed innovation".SCIENCE IN CHINA SERIES A-MATHEMATICS 48.3(2005):333-340. |
入库方式： OAI收割
来源：数学与系统科学研究院
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