Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process
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| Format: | Artículo científico |
| Language: | en |
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Universidad Nacional de Colombia
2016
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| author | Fabio H. Nieto |
| author_facet | Fabio H. Nieto |
| contents | Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process Fabio H. Nieto Edna C. Moreno Física, Astronomía y Matemáticas Open loop TAR model Nonlinear stochastic process Conditional heteroscedasticity Stationary nonlinear stochastic process 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. 2016 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89946455002 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.39 |
| format | Artículo científico |
| id | redalyc_89946455002 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process Fabio H. Nieto Física, Astronomía y Matemáticas Open loop TAR model Nonlinear stochastic process Conditional heteroscedasticity Stationary nonlinear stochastic process Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process Fabio H. Nieto Edna C. Moreno Física, Astronomía y Matemáticas Open loop TAR model Nonlinear stochastic process Conditional heteroscedasticity Stationary nonlinear stochastic process 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. 2016 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89946455002 en http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.39 |
| title | Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process |
| topic | Física, Astronomía y Matemáticas Open loop TAR model Nonlinear stochastic process Conditional heteroscedasticity Stationary nonlinear stochastic process |
| url | https://www.redalyc.org/articulo.oa?id=89946455002 |