Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
Clusters of large values are observed in sample paths of certain open-loop threshold autoregressive (TAR) stochastic processes. In order to characterize the stochastic mechanism that generates this empirical stylized fact, three types of marginal conditional distributions of the underlying stochasti...
Bewaard in:
| Gepubliceerd in: | Revista Colombiana de Estadística |
|---|---|
| Hoofdauteurs: | , |
| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
Universidad Nacional de Colombia
2016
|
| Onderwerpen: | |
| Online toegang: | https://www.redalyc.org/articulo.oa?id=89946455002 |
| Tags: |
Geen labels, Wees de eerste die dit record labelt!
|