The Stationary Marginal Distribution of a Threshold Ar(1) Process

An explicit analytic solution for the stationary marginal distribution of a simple threshold autoregressive process is given. Furthermore, closed form expressions for all moments of the process are presented. The derivation is based on the use of the Frobenius-Perron operator

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Year of publication:	2004
Authors:	Loges, Wilfried
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Statistische Verteilung \| Statistical distribution \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014072951