Abstract

NIETO, FABIO H.  and  MORENO, EDNA C.. Univariate Conditional Distributions of an Open-Loop TAR Stochastic Process. Rev.Colomb.Estad. [online]. 2016, vol.39, n.2, pp.149-165. ISSN 0120-1751.  https://doi.org/10.15446/rce.v39n2.58912.

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.

Keywords : Conditional heteroscedasticity; Nonlinear stochastic process; Open-loop TAR model; Stationary nonlinear stochastic process.

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