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...
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| Vydáno v: | Revista Colombiana de Estadística |
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| Hlavní autoři: | , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Universidad Nacional de Colombia
2016
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| Témata: | |
| On-line přístup: | https://www.redalyc.org/articulo.oa?id=89946455002 |
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