The Stationary Marginal Distribution of a Threshold AR(1) Process

DOI10.1111/j.1467-9892.2004.00339.xzbMath1051.62080OpenAlexW2166811999MaRDI QIDQ4828172

Wilfried Loges

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00339.x

zbMATH Keywords

invariant measuresFrobenius-Perron operatornonlinear autoregressive modelsstationary marginal distributionthreshold AR(1) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

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