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On threshold autoregressive processes. (English) Zbl 0547.62058
This paper is a precise study of a so-called threshold autoregressive process. To get an idea of such a process think of a first order AR process where the coefficient has one value when the state is positive and another in the remaining case. For such a model the stationary distribution of the state as well as the correlation function is determined when the input process is normal and independent.
Reviewer: J.Rissanen

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G15 Gaussian processes
60J99 Markov processes
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References:
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