Time Series with Approximated Beta Marginal
Božidar V. Popović (2010)
Publications de l'Institut Mathématique
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Displaying similar documents to “Stationary distribution of some nonlinear processes”
Time Series with Approximated Beta Marginal
Stationary distribution of absolute autoregression
Jiří Anděl, Pavel Ranocha (2005)
Kybernetika
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A procedure for computation of 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 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.
On calculation of stationary density of autoregressive processes
Jiří Anděl, Karel Hrach (2000)
Kybernetika
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An iterative procedure for computation of stationary density of autoregressive processes is proposed. On an example with exponentially distributed white noise it is demonstrated that the procedure converges geometrically fast. The AR(1) and AR(2) models are analyzed in detail.
AR(1) processes with given moments of marginal distribution
Jiří Anděl (1989)
Kybernetika
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