Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process

Q3 Mathematics

Revista Colombiana De Estadistica Pub Date : 2016-07-01 DOI:10.15446/RCE.V39N2.58912

Fabio H. Nieto, Edna Carolina Moreno

引用次数: 2

Abstract

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 stochastic process are analyzed in this paper. One allows us to find the conditional variance function that explains the aforementioned stylized fact. As a by-product, we are able to derive a sufficient condition to have asymptotic weak stationarity in an open-loop TAR stochastic process.

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开环TAR随机过程的单变量条件分布

在某些开环阈值自回归随机过程的样本路径中观察到大值簇。为了描述产生这种经验风格化事实的随机机制，本文分析了潜在随机过程的三种边缘条件分布。一个允许我们找到解释上述风格化事实的条件方差函数。作为一个副产品，我们能够推导出一个开环TAR随机过程具有渐近弱平稳的充分条件。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Revista Colombiana De Estadistica STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Colombian Journal of Statistics publishes original articles of theoretical, methodological and educational kind in any branch of Statistics. Purely theoretical papers should include illustration of the techniques presented with real data or at least simulation experiments in order to verify the usefulness of the contents presented. Informative articles of high quality methodologies or statistical techniques applied in different fields of knowledge are also considered. Only articles in English language are considered for publication. The Editorial Committee assumes that the works submitted for evaluation have not been previously published and are not being given simultaneously for publication elsewhere, and will not be without prior consent of the Committee, unless, as a result of the assessment, decides not publish in the journal. It is further assumed that when the authors deliver a document for publication in the Colombian Journal of Statistics, they know the above conditions and agree with them.