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A NOTE ON THE THRESHOLD AR(1) MODEL WITH CAUCHY INNOVATIONS
Author(s) -
Anděl Jiři,
Bartoň Tomáŝ
Publication year - 1986
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1986.tb00481.x
Subject(s) - autoregressive model , mathematics , cauchy distribution , setar , star model , nonlinear autoregressive exogenous model , value (mathematics) , first order , statistics , econometrics , autoregressive integrated moving average , time series
Abstract. A threshold autoregressive process of the first order with one threshold r and with Cauchy innovations is investigated in the paper. An explicit formula for the stationary density of such process is derived for the special case that r = 0 and that the autoregressive parameters have the same absolute value.