On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

zbMath1112.62097MaRDI QIDQ882961

Guangxu Wu, Jiazhu Pan

Publication date: 29 May 2007

Published in: Science in China. Series A (Search for Journal in Brave)

zbMATH Keywords

tail probabilityheavy-tailed distributionsnonlinear AR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations

This page was built for publication: On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations