Stationary distribution of absolute autoregression. (English) Zbl 1249.60067

Anděl, Jiří; Ranocha, Pavel

Kybernetika 41, No. 6, 735-742 (2005).

Summary: A procedure for the computation of the stationary density of the absolute autoregression (AAR) model driven by white noise with symmetrical density is described. This method is used for deriving explicit formulas for the stationary distribution and further characteristics of AAR models with given distribution of white noise. The cases of Gaussian, Cauchy, Laplace and discrete rectangular distribution are investigated in detail.

MSC:

60G10

Stationary stochastic processes

Keywords:

absolute autoregression; stationary distribution; marginal distribution

References:

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