Recurrence properties of autoregressive processes with super-heavy-tailed innovations
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Publication:4667989
DOI10.1239/jap/1091543415zbMath1115.62092OpenAlexW1968733346MaRDI QIDQ4667989
Assaf J. Zeevi, Peter W. Glynn
Publication date: 18 April 2005
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1091543415
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
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