Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
Year of publication: |
2023
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Authors: | Pan, Jiazhu ; He, Yali |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 3, p. 377-395
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Subject: | ergodicity | heavy-tailed distribution | tail probability | threshold AR model | Statistische Verteilung | Statistical distribution | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory |
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