The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
type: Item
instance of: scholarly article
title: The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
zbMATH Open document ID: 1010.62083
author: Milan Borkovec
author: Claudia Klüppelberg
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60J05
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 1906225
zbMATH Keywords: ARCH model
zbMATH Keywords: autoregressive process
zbMATH Keywords: geometric ergodicity
zbMATH Keywords: heavy tails
zbMATH Keywords: heteroscedastic model
zbMATH Keywords: Markov processes
zbMATH Keywords: recurrent Harris chains
zbMATH Keywords: regular variation
zbMATH Keywords: Tauberian theorem
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1015345401
OpenAlex ID: W1974159558
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DOI: 10.1214/AOAP/1015345401
description: scientific article; zbMATH DE number 1906225